Edit Profile (opens in new tab) Mishura, Yuliya Stepanivna Co-Author Distance Author ID: mishura.yuliya-s Published as: Mishura, Yu. S.; Mishura, Yuliya; Mishura, Yu.; Mishura, Yuliya S.; Misura, Ju. S.; Mishura, Y.; Mishura, Yuliia; Mishura, Yulia S.; Mishura, Ju. S.; Mishura, U. S.; Mishura, Yu more...less Homepage: http://probability.univ.kiev.ua/index.php?page=userinfo&person=myus External Links: MGP · Wikidata · ResearchGate · Math-Net.Ru · dblp · IdRef · theses.fr Documents Indexed: 312 Publications since 1976, including 10 Books 12 Contributions as Editor Reviewing Activity: 989 Reviews Co-Authors: 146 Co-Authors with 247 Joint Publications 2,403 Co-Co-Authors all top 5 Co-Authors 75 single-authored 34 Shevchenko, Georgiy M. 22 Ralchenko, Kostiantyn V. 13 Sakhno, Lyudmyla Mykhaĭlivna 10 Kozachenko, Yuriĭ Vasyl’ovych 10 Shklyar, Sergiĭ Volodymyrovych 9 Banna, Oksana L. 8 Kukush, Oleksandr Georgiĭovych 8 Kushnirenko, Svitlana V. 8 Perestyuk, Mykola Oleksiĭovych 8 Valkeila, Esko 7 Kulinich, Grygoriĭ Logvynovych 7 Moklyachuk, Mykhaĭlo Pavlovych 7 Zolota, Aelita V. 6 Il’chenko, Svitlana A. 6 Korolyuk, Volodymyr Semenovych 6 Malyarenko, Anatoliy A. 6 Melnikov, Aleksander Viktorovich 6 Zili, Mounir 5 Gushchin, Aleksandr Aleksandrovich 5 Kartashov, Mykola Valentynovych 5 Krvavych, Yurij V. 5 Kubilius, Kȩstutis 5 Makogin, Vitalii 5 Posashkova, Svitlana V. 5 Ragulina, Olena 5 Yurchenko-Tytarenko, Anton 4 Androshchuk, Maryna O. 4 Ascione, Giacomo 4 Olenko, Andriy Yakovych 4 Ol’tsik, Ya. O. 4 Ol’tsik, Yanina A. 4 Pirozzi, Enrica 4 Posashkov, Sergij V. 4 Tomashyk, V. V. 4 Tomilov, Yuri 4 Zubchenko, V. P. 3 Gorodnii, M. F. 3 Hashorva, Enkelejd 3 Kondrat’yev, Yuriĭ Grygorovych 3 Lavrent’ev, A. S. 3 Maĭboroda, Rostyslav Yevgenovych 3 Ostoja-Starzewski, Martin 3 Silvestrov, Dmitrii 3 Yukhnovs’kiĭ, Yu. V. 2 Androshchuk, Taras O. 2 Azmoodeh, Ehsan 2 Banna, O. 2 Bel Hadj Khlifa, Meriem 2 Borovkov, Konstantin A. 2 Borysenko, Oleksandr Danylovych 2 Buryak, Filipp 2 Dehtiar, Olena 2 Di Nunno, Giulia 2 Dozzi, Marco E. 2 Gusak, Dmytro V. 2 Kuchuk-Iatsenko, Sergii 2 Lavrent’yev, O. S. 2 Leonenko, Nikolai N. 2 Limnios, Nikolaos 2 Munchak, Ye. Yu. 2 Novikov, Aleksandr Aleksandrovich 2 Rozora, Iryna V. 2 Samoĭlenko, Valeriĭ Grygorovych 2 Schied, Alexander 2 Seleznjev, Oleg 2 Shvaĭ, O. V. 2 Solovejko, O. M. 2 Swishchuk, Anatoliy 2 Veretennikov, Alexander Yu. 2 Weisz, Ferenc 2 Zakuzylo, O. K. 2 Zhelezniak, H. S. 2 Zheleznyak, G. S. 2 Zhitlukhin, Mikhail V. 1 Bagro, G. S. 1 Bezborodov, Viktor 1 Boguslavskaya, Elena Vladimirovna 1 Bratik, M. V. 1 Bratyk, Mykhajlo V. 1 Bratyk, Mykhaylo 1 da Silva, José Luís 1 Di Persio, Luca 1 Doroshenko, V. V. 1 Doroshenko, Vadym 1 Eisenberg, Julia 1 Guasoni, Paolo 1 Hopkalo, O. M. 1 Hössjer, Ola G. 1 Ivasyuk, A. V. 1 Kabanov, Yuriĭ Mikhaĭlovich 1 Khlifa, M. Bel Hadj 1 Kovalenko, Igor Mykolaĭovych 1 Krvavych, Yuriy 1 Kuchuk-Iatsenko, S. V. 1 Kuchuk-Yatsenko, S. V. 1 Kulik, Alexey M. 1 Kulik, O. M. 1 Kurchenko, Oleksandr O. 1 Lapida, T. M. 1 Lohvinenko, Stanislav ...and 46 more Co-Authors all top 5 Serials 58 Theory of Probability and Mathematical Statistics 30 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka 20 Modern Stochastics. Theory and Applications 17 Ukraïns’kyĭ Matematychnyĭ Zhurnal 14 Theory of Stochastic Processes 13 Visnyk. Seriya: Fizyko-Matematychni Nauky. Kyïvs’kyĭ Universytet Imeni Tarasa Shevchenka 13 Prykladna Statystyka. Aktuarna ta Finansova Matematyka 9 Statistics & Probability Letters 8 Stochastics 7 Theory of Probability and its Applications 7 Visnyk. Matematyka. Mekhanika. Kyïvs’kyĭ Universytet Imeni Tarasa Shevchenka 6 Ukrainian Mathematical Journal 6 Dopovidi Natsional’noï Akademiï Nauk Ukraïny. Matematyka, Pryrodoznavstvo, Tekhnichni Nauky 5 Stochastic Processes and their Applications 5 Teoriya Veroyatnosteĭ i Matematicheskaya Statistika 5 Random Operators and Stochastic Equations 5 Methodology and Computing in Applied Probability 4 Statistical Inference for Stochastic Processes 3 Journal of Theoretical Probability 3 Journal of Applied Mathematics and Stochastic Analysis 3 Communications in Statistics. Theory and Methods 3 Fractional Calculus & Applied Analysis 3 Nonlinear Analysis. Modelling and Control 2 Computers & Mathematics with Applications 2 Doklady Akademii Nauk Ukrainskoĭ SSR, Seriya A 2 Journal of Mathematical Analysis and Applications 2 Lithuanian Mathematical Journal 2 Teoriya Veroyatnosteĭ i eë Primeneniya 2 Stochastic Analysis and Applications 2 Proceedings of the Royal Society of Edinburgh. Section A. Mathematics 2 Opuscula Mathematica 2 International Journal of Theoretical and Applied Finance 2 Electronic Journal of Statistics 2 Bocconi & Springer Series 1 The Annals of Probability 1 Applied Mathematics and Computation 1 Proceedings of the American Mathematical Society 1 SIAM Journal on Control and Optimization 1 Statistics & Decisions 1 Statistics 1 Numerical Algorithms 1 Dopovidi Akademiï Nauk Ukraïns’koï RSR. Seriya A 1 Stochastics and Stochastics Reports 1 Finance and Stochastics 1 Teoriya Sluchaĭnykh Protsessov 1 Mathematical Methods of Operations Research 1 Zhurnal Obchyslyuval’noïta Prykladnoï Matematyky 1 Stochastic Models 1 Stochastics and Dynamics 1 North American Actuarial Journal 1 Lecture Notes in Mathematics 1 Mathematics and Financial Economics 1 Risk and Decision Analysis 1 Springer Optimization and Its Applications 1 Problem Books in Mathematics 1 Mathematics and Statistics Series 1 De Gruyter Series in Probability and Stochastics all top 5 Fields 295 Probability theory and stochastic processes (60-XX) 73 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 53 Statistics (62-XX) 12 General and overarching topics; collections (00-XX) 11 History and biography (01-XX) 9 Partial differential equations (35-XX) 9 Operator theory (47-XX) 8 Real functions (26-XX) 7 Numerical analysis (65-XX) 6 Ordinary differential equations (34-XX) 4 Information and communication theory, circuits (94-XX) 3 Measure and integration (28-XX) 3 Integral equations (45-XX) 3 Systems theory; control (93-XX) 2 Harmonic analysis on Euclidean spaces (42-XX) 2 Operations research, mathematical programming (90-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Fluid mechanics (76-XX) 1 Statistical mechanics, structure of matter (82-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 149 Publications have been cited 1,170 times in 836 Documents Cited by ▼ Year ▼ Stochastic calculus for fractional Brownian motion and related processes. Zbl 1138.60006Mishura, Yuliya 385 2008 Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion. Zbl 0983.60052Mémin, Jean; Mishura, Yuliya; Valkeila, Esko 96 2001 Existence and uniqueness theorems for solutions of McKean-Vlasov stochastic equations. Zbl 1482.60079Mishura, Yuliya; Veretennikov, Alexander 42 2020 The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion. Zbl 1154.60046Mishura, Yu; Shevchenko, G. 33 2008 Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions. Zbl 1268.60088Mishura, Yuliya; Shevchenko, Georgiy 29 2012 Existence and uniqueness of the solution of stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index \(H > 1/2\). Zbl 1315.60071Mishura, Yulia S.; Shevchenko, Georgiy M. 28 2011 On drift parameter estimation in models with fractional Brownian motion. Zbl 1396.62190Kozachenko, Y.; Melnikov, A.; Mishura, Y. 21 2015 Parameter estimation in fractional diffusion models. Zbl 1388.60006Kubilius, Kęstutis; Mishura, Yuliya; Ralchenko, Kostiantyn 20 2017 Fractional Lévy processes as a result of compact interval integral transformation. Zbl 1239.60029Tikanmäki, Heikki; Mishura, Yuliya 15 2011 Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 14 2017 Mixed Brownian-fractional Brownian model: absence of arbitrage and related topics. Zbl 1115.60043Androshchuk, Taras; Mishura, Yuliya 14 2006 On hedging European options in geometric fractional Brownian motion market model. Zbl 1202.91312Azmoodeh, Ehsan; Mishura, Yuliya; Valkeila, Esko 13 2009 Fractional Cox-Ingersoll-Ross process with non-zero “mean”. Zbl 1391.60078Mishura, Yuliya; Yurchenko-Tytarenko, Anton 12 2018 Stochastic analysis of mixed fractional Gaussian processes. Zbl 1455.60004Mishura, Yuliya; Zili, Mounir 11 2018 Stochastic viability and comparison theorems for mixed stochastic differential equations. Zbl 1310.60087Melnikov, Alexander; Mishura, Yuliya; Shevchenko, Georgiy 11 2015 The rate of convergence of Hurst index estimate for the stochastic differential equation. Zbl 1255.60065Kubilius, K.; Mishura, Y. 10 2012 Stochastic differential equations driven by a Wiener process and fractional Brownian motion: convergence in Besov space with respect to a parameter. Zbl 1228.60067Mishura, Yu. S.; Posashkova, S. V. 9 2011 Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises. Zbl 1433.60059Mishura, Yu.; Ralchenko, K.; Shevchenko, G. 9 2019 Approximation schemes for stochastic differential equations in Hilbert space. Zbl 1148.60044Mishura, Yu. S.; Shevchenko, G. M. 9 2007 Theory of stochastic processes. With applications to financial mathematics and risk theory. Zbl 1189.60001Gusak, Dmytro; Kukush, Alexander; Kulik, Alexey; Mishura, Yuliya; Pilipenko, Andrey 9 2010 Weak solutions for stochastic differential equations with additive fractional noise. Zbl 1063.60085Mishura, Yu.; Nualart, D. 9 2005 Asymptotic behavior of mixed power variations and statistical estimation in mixed models. Zbl 1329.60102Dozzi, Marco; Mishura, Yuliya; Shevchenko, Georgiy 8 2015 Approximation of fractional Brownian motion by Wiener integrals. Zbl 1224.60079Mishura, Yu. S.; Banna, O. L. 8 2008 Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process. Zbl 1409.60061Mishura, Yu. S.; Piterbarg, V. I.; Ralchenko, K. V.; Yurchenko-Tytarenko, A. Yu. 8 2018 On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity. Zbl 1408.28014Mishura, Yuliya; Schied, Alexander 8 2019 The absence of arbitrage in a mixed Brownian-fractional Brownian model. Zbl 1113.91322Mishura, Yu. S.; Valkeila, E. 8 2002 Approximation of fractional Brownian motion by martingales. Zbl 1312.60043Shklyar, Sergiy; Shevchenko, Georgiy; Mishura, Yuliya; Doroshenko, Vadym; Banna, Oksana 7 2014 Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas. Zbl 1403.91345Kuchuk-Iatsenko, Sergii; Mishura, Yuliya 7 2015 Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion. Zbl 1290.60069Mishura, Yuliya S.; Shevchenko, Georgiy M. 7 2011 Fractional stochastic integration and Black-Scholes equation for fractional Brownian model with stochastic volatility. Zbl 1052.60029Mishura, Yuliya 7 2004 Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\). Zbl 1326.60048Kubilius, Kęstutis; Mishura, Yuliya; Ralchenko, Kostiantyn; Seleznjev, Oleg 7 2015 Boundary non-crossing probabilities for fractional Brownian motion with trend. Zbl 1337.60065Hashorva, Enkelejd; Mishura, Yuliya; Seleznjev, Oleg 6 2015 Random variables as pathwise integrals with respect to fractional Brownian motion. Zbl 1328.60131Mishura, Yuliya; Shevchenko, Georgiy; Valkeila, Esko 6 2013 Convergence of solutions of mixed stochastic delay differential equations with applications. Zbl 1338.34155Mishura, Yuliya; Shalaiko, Taras; Shevchenko, Georgiy 6 2015 Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process. Zbl 1356.60062Kukush, Alexander; Mishura, Yuliya; Ralchenko, Kostiantyn 6 2017 Ruin probabilities. Smoothness, bounds, supermartingale approach. Zbl 1422.91023Mishura, Yuliya; Ragulina, Olena 6 2016 An extension of the Lévy characterization to fractional Brownian motion. Zbl 1227.60051Mishura, Yuliya; Valkeila, Esko 6 2011 Approximation of fractional Brownian motion with associated Hurst index separated from 1 by stochastic integrals of linear power functions. Zbl 1224.60074Banna, Oksana L.; Mishura, Yuliya S. 6 2008 Time-changed fractional Ornstein-Uhlenbeck process. Zbl 1450.60030Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica 6 2020 Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process. Zbl 1332.60049Mishura, Yuliya 6 2015 Boundary noncrossings of additive Wiener fields. Zbl 1304.60059Hashorva, Enkelejd; Mishura, Yuliya 5 2014 Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications. Zbl 1485.60043Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica 5 2021 Constructing functions with prescribed pathwise quadratic variation. Zbl 1343.60066Mishura, Yuliya; Schied, Alexander 5 2016 Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations. Zbl 1322.60091Kulinich, G. L.; Kushnirenko, S. V.; Mishura, Yu. S. 5 2015 The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black-Scholes model. Zbl 1338.60072Mishura, Yuliya 5 2015 New and refined bounds for expected maxima of fractional Brownian motion. Zbl 1406.60058Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 5 2018 Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and Wiener process. Zbl 1142.60028Mishura, Yuliya; Posashkov, Sergiy 5 2007 Theory and statistical applications of stochastic processes. Zbl 1375.60006Mishura, Yuliya; Shevchenko, Georgiy 4 2017 Rate of convergence of option prices by using the method of pseudomoments. Zbl 1345.60018Mishura, Yu. S.; Munchak, E. Yu. 4 2016 Example of a Gaussian self-similar field with stationary rectangular increments that is not a fractional Brownian sheet. Zbl 1316.60077Makogin, Vitalii; Mishura, Yuliya 4 2015 The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process. Zbl 1336.91079Mishura, Yuliya 4 2015 Asymptotic behavior of integral functionals of unstable solutions of one-dimensional Itô stochastic differential equations. Zbl 1322.60090Kulinich, G. L.; Kushnirenko, S. V.; Mishura, Yu. S. 4 2014 Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion. Zbl 1329.60193Mishura, Yuliya; Ral’chenko, Kostiantyn; Seleznev, Oleg; Shevchenko, Georgiy 4 2014 Exponential estimates for two-parameter martingales. Zbl 0635.60049Mishura, Yu. S. 4 1987 Statistical inference with fractional Brownian motion. Zbl 1107.62355Kukush, Alexander; Mishura, Yuliya; Valkeila, Esko 4 2005 Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation. Zbl 1403.91346Kuchuk-Iatsenko, Sergii; Mishura, Yuliya 4 2015 Practical approaches to the estimation of the ruin probability in a risk model with additional funds. Zbl 1349.91151Mishura, Yuliya; Ragulina, Olena; Stroyev, Oleksandr 4 2014 The simplest martingales of the best approximation of fractional Brownian motion. Zbl 1199.60132Banna, O.; Mishura, Yu. 4 2008 The generalization of the quantile hedging problem for a price process model involving a finite number of Brownian and fractional Brownian motions. Zbl 1224.91190Bratyk, Mykhaylo; Mishura, Yuliya 4 2008 On reselling of European option. Zbl 1141.91017Kukush, A. G.; Mishura, Yu. S.; Shevchenko, G. M. 4 2006 Atomic decompositions and inequalities for vector-valued discrete-time martingales. Zbl 0956.60037Mishura, Yu. S.; Weisz, F. 4 1998 Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth. Zbl 1411.91542Bezborodov, Viktor; Di Persio, Luca; Mishura, Yuliya 4 2019 Analytic properties of infinite-horizon survival probability in a risk model with additional funds. Zbl 1339.91063Mishura, Yu. S.; Ragulina, O. Yu.; Stroev, O. M. 4 2015 European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process. Zbl 1336.60134Mishura, Yu.; Rizhniak, G.; Zubchenko, V. 3 2014 A generalized Itô formula for two-parameter martingales. II. Zbl 0629.60051Mishura, Yu. S. 3 1986 Sufficient conditions for relative compactness of measures corresponding to two-parameter strong martingales. Zbl 0629.60052Mishura, Yu. S. 3 1987 Gaussian Volterra processes with power-type kernels. I. Zbl 1512.60024Mishura, Yuliya; Shklyar, Sergiy 3 2022 Maximum likelihood drift estimation for the mixing of two fractional Brownian motions. Zbl 1498.60152Mishura, Yuliya 3 2016 High-frequency trading with fractional Brownian motion. Zbl 1461.91300Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós 3 2021 Fractional Brownian motion. Approximations and projections. Zbl 1506.60001Banna, Oksana; Mishura, Yuliya; Ralchenko, Kostiantyn; Shklyar, Sergiy 3 2019 The rate of convergence to the normal law in terms of pseudomoments. Zbl 1349.60016Mishura, Yuliya; Munchak, Yevheniya; Slyusarchuk, Petro 3 2015 Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent. Zbl 1331.62116Mishura, Yuliya 3 2014 A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval. Zbl 1243.60034Banna, O. L.; Mishura, Yu. S. 3 2011 Properties of solutions of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion. Zbl 1224.91194Mishura, Yu. S.; Posashkova, S. V.; Shevchenko, G. M. 3 2008 Functional limit theorems for stochastic integrals with applications to risk processes and to self-financing strategies in a multidimensional market. I. Zbl 1224.60061Mishura, Yu. S.; Shevchenko, G. M.; Yukhnovs’kyj, Yu. V. 3 2009 The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion. Zbl 1280.60041Mishura, Yuliya S.; Posashkova, Svitlana V. 3 2011 On the convergence of random fields in the J-topology. Zbl 0433.60056Mishura, Yu. S. 3 1979 An isometric approach to generalized stochastic integrals. Zbl 0965.60054Mishura, Yuliya; Valkeila, Esko 3 2000 Decomposition of two-parameter martingales into orthogonal components. Zbl 0473.60048Mishura, Yu. S. 3 1980 Differentiability of fractional integrals whose kernels contain fractional Brownian motion. Zbl 0985.60057Krvavych, Yu. V.; Mishura, Yu. S. 3 2001 Martingale transforms and Girsanov theorem for long-memory Gaussian processes. Zbl 1002.60030Mishura, Yuliya; Valkeila, Esko 3 2001 Optimal stopping for Lévy processes with one-sided solutions. Zbl 1347.60045Mordecki, Ernesto; Mishura, Yuliya 3 2016 The Davis inequalities and the Gundy decomposition for two-parameter strong martingales. I. Zbl 0749.60042Gushchin, A. A.; Mishura, Yu. S. 2 1990 Limit behavior of functionals of solutions of diffusion type equations. Zbl 1345.60029Kulinich, G. L.; Kushnirenko, S. V.; Mishura, Yu. S. 2 2016 The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels. Zbl 1307.60038Doroshenko, V.; Mishura, Yu.; Banna, O. 2 2013 Properties of integrals with respect to fractional Poisson processes with compact kernels. Zbl 1326.60080Mishura, Yu.; Zubchenko, V. 2 2014 Extreme measures for entropy functionals. Zbl 1438.60003Mishura, Yu. S.; Zheleznyak, G. S. 2 2017 Fractional stochastic heat equation with piecewise constant coefficients. Zbl 1476.60076Mishura, Yuliya; Ralchenko, Kostiantyn; Zili, Mounir; Zougar, Eya 2 2021 Optimization of small deviation for mixed fractional Brownian motion with trend. Zbl 1498.60150MacKay, Anne; Melnikov, Alexander; Mishura, Yuliya 2 2018 Drift parameter estimation in the models involving fractional Brownian motion. Zbl 1382.60063Mishura, Yuliya; Ralchenko, Kostiantyn 2 2017 Asymptotic behavior of homogeneous additive functionals of the solutions of Itô stochastic differential equations with nonregular dependence on parameter. Zbl 1352.60049Kulinich, Grigorij; Kushnirenko, Svitlana; Mishura, Yuliia 2 2016 Small ball properties and representation results. Zbl 1353.60050Mishura, Yuliya; Shevchenko, Georgiy 2 2017 Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise. Zbl 1355.60068Di Nunno, Giulia; Mishura, Yuliya; Ralchenko, Kostiantyn 2 2016 Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility. Zbl 1355.60071Bel Hadj Khlifa, Meriem; Mishura, Yuliya; Ralchenko, Kostiantyn; Zili, Mounir 2 2016 An estimate for the rate of convergence of a difference scheme applied to a stochastic differential equation with an additional process parameter. Zbl 1232.60052Mishura, Yuliya S.; Shvaĭ, O. V. 2 2011 A generalized Itô formula for two-parameter martingales. I. Zbl 0587.60038Mishura, Yu. S. 2 1985 Existence and uniqueness of solutions of stochastic differential equations with non-Lipschitz diffusion and Poisson measure. Zbl 1224.60156Zubchenko, V. P.; Mishura, Yu. S. 2 2009 Positivity of solution of nonhomogeneous stochastic differential equation with non-Lipschitz diffusion. Zbl 1224.60146Mishura, Yuliya; Posashkova, Svitlana 2 2008 The optimal time to exchange one asset for another on finite interval. Zbl 1189.60087Mishura, Yuliya; Shevchenko, Georgiy 2 2009 Estimation of the ruin probability of an insurance company operating on a BS-market. Zbl 1164.62402Androshchuk, M. O.; Mishura, Yu. S. 2 2007 Gaussian Volterra processes with power-type kernels. I. Zbl 1512.60024Mishura, Yuliya; Shklyar, Sergiy 3 2022 Gaussian Volterra processes with power-type kernels. II. Zbl 1502.60046Mishura, Yuliya; Shklyar, Sergiy 1 2022 Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications. Zbl 1485.60043Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica 5 2021 High-frequency trading with fractional Brownian motion. Zbl 1461.91300Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós 3 2021 Fractional stochastic heat equation with piecewise constant coefficients. Zbl 1476.60076Mishura, Yuliya; Ralchenko, Kostiantyn; Zili, Mounir; Zougar, Eya 2 2021 Convergence results for the time-changed fractional Ornstein-Uhlenbeck processes. Zbl 1470.60111Ascione, G.; Mishura, Yu.; Pirozzi, E. 1 2021 Limit theorems for additive functionals of continuous time random walks. Zbl 1485.60049Kondratiev, Yuri; Mishura, Yuliya; Shevchenko, Georgiy 1 2021 Perpetual integral functionals of multidimensional stochastic processes. Zbl 1492.60221Kondratiev, Yuri; Mishura, Yuliya; da Silva, José L. 1 2021 Convexity and robustness of the Rényi entropy. Zbl 1479.60025Buryak, Filipp; Mishura, Yuliya 1 2021 Existence and uniqueness theorems for solutions of McKean-Vlasov stochastic equations. Zbl 1482.60079Mishura, Yuliya; Veretennikov, Alexander 42 2020 Time-changed fractional Ornstein-Uhlenbeck process. Zbl 1450.60030Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica 6 2020 Asymptotic analysis of unstable solutions of stochastic differential equations. Zbl 1456.60002Kulinich, Grigorij; Kushnirenko, Svitlana; Mishura, Yuliya 1 2020 On mild and weak solutions for stochastic heat equations with piecewise-constant conductivity. Zbl 1436.60037Mishura, Yuliya; Ralchenko, Kostiantyn; Zili, Mounir 1 2020 Small deviations for mixed fractional Brownian motion with trend and with Hurst index \(H>1/2\). Zbl 1490.60088Makogin, Vitalii; Mishura, Yuliya 1 2020 Distance from fractional Brownian motion with associated Hurst index \(0<H<1/2\) to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent. Zbl 1468.60046Banna, Oksana; Buryak, Filipp; Mishura, Yuliya 1 2020 Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises. Zbl 1433.60059Mishura, Yu.; Ralchenko, K.; Shevchenko, G. 9 2019 On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity. Zbl 1408.28014Mishura, Yuliya; Schied, Alexander 8 2019 Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth. Zbl 1411.91542Bezborodov, Viktor; Di Persio, Luca; Mishura, Yuliya 4 2019 Fractional Brownian motion. Approximations and projections. Zbl 1506.60001Banna, Oksana; Mishura, Yuliya; Ralchenko, Kostiantyn; Shklyar, Sergiy 3 2019 Fractional Cox-Ingersoll-Ross process with non-zero “mean”. Zbl 1391.60078Mishura, Yuliya; Yurchenko-Tytarenko, Anton 12 2018 Stochastic analysis of mixed fractional Gaussian processes. Zbl 1455.60004Mishura, Yuliya; Zili, Mounir 11 2018 Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process. Zbl 1409.60061Mishura, Yu. S.; Piterbarg, V. I.; Ralchenko, K. V.; Yurchenko-Tytarenko, A. Yu. 8 2018 New and refined bounds for expected maxima of fractional Brownian motion. Zbl 1406.60058Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 5 2018 Optimization of small deviation for mixed fractional Brownian motion with trend. Zbl 1498.60150MacKay, Anne; Melnikov, Alexander; Mishura, Yuliya 2 2018 Maximum likelihood estimation for Gaussian process with nonlinear drift. Zbl 1420.62364Mishura, Yuliya; Ralchenko, Kostiantyn; Shklyar, Sergiy 1 2018 Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation. Zbl 1395.60042Dozzi, Marco; Kozachenko, Yuriy; Mishura, Yuliya; Ralchenko, Kostiantyn 1 2018 Fractional Cox-Ingersoll-Ross process with small Hurst indices. Zbl 1454.60053Mishura, Yuliya; Yurchenko-Tytarenko, Anton 1 2018 Parameter estimation in fractional diffusion models. Zbl 1388.60006Kubilius, Kęstutis; Mishura, Yuliya; Ralchenko, Kostiantyn 20 2017 Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail 14 2017 Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process. Zbl 1356.60062Kukush, Alexander; Mishura, Yuliya; Ralchenko, Kostiantyn 6 2017 Theory and statistical applications of stochastic processes. Zbl 1375.60006Mishura, Yuliya; Shevchenko, Georgiy 4 2017 Extreme measures for entropy functionals. Zbl 1438.60003Mishura, Yu. S.; Zheleznyak, G. S. 2 2017 Drift parameter estimation in the models involving fractional Brownian motion. Zbl 1382.60063Mishura, Yuliya; Ralchenko, Kostiantyn 2 2017 Small ball properties and representation results. Zbl 1353.60050Mishura, Yuliya; Shevchenko, Georgiy 2 2017 An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility. Zbl 1377.91160Kuchuk-Yatsenko, S. V.; Mishura, Yu. S.; Munchak, Ye. Yu. 1 2017 On mean-variance hedging under partial observations and terminal wealth constraints. Zbl 1396.91695Makogin, Vitalii; Melnikov, Alexander; Mishura, Yuliya 1 2017 Ruin probabilities. Smoothness, bounds, supermartingale approach. Zbl 1422.91023Mishura, Yuliya; Ragulina, Olena 6 2016 Constructing functions with prescribed pathwise quadratic variation. Zbl 1343.60066Mishura, Yuliya; Schied, Alexander 5 2016 Rate of convergence of option prices by using the method of pseudomoments. Zbl 1345.60018Mishura, Yu. S.; Munchak, E. Yu. 4 2016 Maximum likelihood drift estimation for the mixing of two fractional Brownian motions. Zbl 1498.60152Mishura, Yuliya 3 2016 Optimal stopping for Lévy processes with one-sided solutions. Zbl 1347.60045Mordecki, Ernesto; Mishura, Yuliya 3 2016 Limit behavior of functionals of solutions of diffusion type equations. Zbl 1345.60029Kulinich, G. L.; Kushnirenko, S. V.; Mishura, Yu. S. 2 2016 Asymptotic behavior of homogeneous additive functionals of the solutions of Itô stochastic differential equations with nonregular dependence on parameter. Zbl 1352.60049Kulinich, Grigorij; Kushnirenko, Svitlana; Mishura, Yuliia 2 2016 Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise. Zbl 1355.60068Di Nunno, Giulia; Mishura, Yuliya; Ralchenko, Kostiantyn 2 2016 Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility. Zbl 1355.60071Bel Hadj Khlifa, Meriem; Mishura, Yuliya; Ralchenko, Kostiantyn; Zili, Mounir 2 2016 Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model. Zbl 1352.60050Mishura, Yuliia; Munchak, Yevheniia 1 2016 Rate of convergence of option prices for approximations of the geometric Ornstein-Uhlenbeck process by Bernoulli jumps of prices on assets. Zbl 1415.91288Mishura, Yu. S.; Munchak, Ye. Yu. 1 2016 On drift parameter estimation in models with fractional Brownian motion. Zbl 1396.62190Kozachenko, Y.; Melnikov, A.; Mishura, Y. 21 2015 Stochastic viability and comparison theorems for mixed stochastic differential equations. Zbl 1310.60087Melnikov, Alexander; Mishura, Yuliya; Shevchenko, Georgiy 11 2015 Asymptotic behavior of mixed power variations and statistical estimation in mixed models. Zbl 1329.60102Dozzi, Marco; Mishura, Yuliya; Shevchenko, Georgiy 8 2015 Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas. Zbl 1403.91345Kuchuk-Iatsenko, Sergii; Mishura, Yuliya 7 2015 Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\). Zbl 1326.60048Kubilius, Kęstutis; Mishura, Yuliya; Ralchenko, Kostiantyn; Seleznjev, Oleg 7 2015 Boundary non-crossing probabilities for fractional Brownian motion with trend. Zbl 1337.60065Hashorva, Enkelejd; Mishura, Yuliya; Seleznjev, Oleg 6 2015 Convergence of solutions of mixed stochastic delay differential equations with applications. Zbl 1338.34155Mishura, Yuliya; Shalaiko, Taras; Shevchenko, Georgiy 6 2015 Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process. Zbl 1332.60049Mishura, Yuliya 6 2015 Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations. Zbl 1322.60091Kulinich, G. L.; Kushnirenko, S. V.; Mishura, Yu. S. 5 2015 The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black-Scholes model. Zbl 1338.60072Mishura, Yuliya 5 2015 Example of a Gaussian self-similar field with stationary rectangular increments that is not a fractional Brownian sheet. Zbl 1316.60077Makogin, Vitalii; Mishura, Yuliya 4 2015 The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process. Zbl 1336.91079Mishura, Yuliya 4 2015 Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation. Zbl 1403.91346Kuchuk-Iatsenko, Sergii; Mishura, Yuliya 4 2015 Analytic properties of infinite-horizon survival probability in a risk model with additional funds. Zbl 1339.91063Mishura, Yu. S.; Ragulina, O. Yu.; Stroev, O. M. 4 2015 The rate of convergence to the normal law in terms of pseudomoments. Zbl 1349.60016Mishura, Yuliya; Munchak, Yevheniya; Slyusarchuk, Petro 3 2015 Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent. Zbl 1326.60076Banna, O. L.; Mishura, Yu. S.; Shklyar, S. V. 1 2015 Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence. Zbl 1352.60059Mishura, Yuliya; Voronov, Ivan 1 2015 Approximation of fractional Brownian motion by martingales. Zbl 1312.60043Shklyar, Sergiy; Shevchenko, Georgiy; Mishura, Yuliya; Doroshenko, Vadym; Banna, Oksana 7 2014 Boundary noncrossings of additive Wiener fields. Zbl 1304.60059Hashorva, Enkelejd; Mishura, Yuliya 5 2014 Asymptotic behavior of integral functionals of unstable solutions of one-dimensional Itô stochastic differential equations. Zbl 1322.60090Kulinich, G. L.; Kushnirenko, S. V.; Mishura, Yu. S. 4 2014 Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion. Zbl 1329.60193Mishura, Yuliya; Ral’chenko, Kostiantyn; Seleznev, Oleg; Shevchenko, Georgiy 4 2014 Practical approaches to the estimation of the ruin probability in a risk model with additional funds. Zbl 1349.91151Mishura, Yuliya; Ragulina, Olena; Stroyev, Oleksandr 4 2014 European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process. Zbl 1336.60134Mishura, Yu.; Rizhniak, G.; Zubchenko, V. 3 2014 Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent. Zbl 1331.62116Mishura, Yuliya 3 2014 Properties of integrals with respect to fractional Poisson processes with compact kernels. Zbl 1326.60080Mishura, Yu.; Zubchenko, V. 2 2014 Convergence of exit times for diffusion processes. Zbl 1310.60042Mishura, Yu. S.; Tomashyk, V. V. 1 2014 Strong limit theorems for anisotropic self-similar fields. Zbl 1314.60102Makogin, V.; Mishura, Yu. 1 2014 Random variables as pathwise integrals with respect to fractional Brownian motion. Zbl 1328.60131Mishura, Yuliya; Shevchenko, Georgiy; Valkeila, Esko 6 2013 The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels. Zbl 1307.60038Doroshenko, V.; Mishura, Yu.; Banna, O. 2 2013 Optimal stopping time problem for random walks with polynomial reward functions. Zbl 1300.60058Mishura, Yu. S.; Tomashyk, V. V. 2 2013 Distance of fractional Brownian motion to the subspaces of Gaussian martingales. Zbl 1289.60073Mishura, Yu. S.; Banna, O. L.; Doroshenko, V. V. 1 2013 Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions. Zbl 1268.60088Mishura, Yuliya; Shevchenko, Georgiy 29 2012 The rate of convergence of Hurst index estimate for the stochastic differential equation. Zbl 1255.60065Kubilius, K.; Mishura, Y. 10 2012 Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times. Zbl 1291.91123Mishura, Yuliya; Schmidli, Hanspeter 1 2012 Existence and uniqueness of the solution of stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index \(H > 1/2\). Zbl 1315.60071Mishura, Yulia S.; Shevchenko, Georgiy M. 28 2011 Fractional Lévy processes as a result of compact interval integral transformation. Zbl 1239.60029Tikanmäki, Heikki; Mishura, Yuliya 15 2011 Stochastic differential equations driven by a Wiener process and fractional Brownian motion: convergence in Besov space with respect to a parameter. Zbl 1228.60067Mishura, Yu. S.; Posashkova, S. V. 9 2011 Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion. Zbl 1290.60069Mishura, Yuliya S.; Shevchenko, Georgiy M. 7 2011 An extension of the Lévy characterization to fractional Brownian motion. Zbl 1227.60051Mishura, Yuliya; Valkeila, Esko 6 2011 A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval. Zbl 1243.60034Banna, O. L.; Mishura, Yu. S. 3 2011 The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion. Zbl 1280.60041Mishura, Yuliya S.; Posashkova, Svitlana V. 3 2011 An estimate for the rate of convergence of a difference scheme applied to a stochastic differential equation with an additional process parameter. Zbl 1232.60052Mishura, Yuliya S.; Shvaĭ, O. V. 2 2011 Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure. Zbl 1235.60086Zubchenko, V. P.; Mishura, Yu. S. 1 2011 Functional limit theorems for stochastic integrals with applications to risk processes and to capital of self-financing strategies in a multidimensional market. II. Zbl 1232.60026Mishura, Yuliya S.; Yukhnovs’kiĭ, Yu. V. 1 2011 On pricing and hedging in financial markets with long-range dependence. Zbl 1273.91443Melnikov, Alexander; Mishura, Yuliya 1 2011 Theory of stochastic processes. With applications to financial mathematics and risk theory. Zbl 1189.60001Gusak, Dmytro; Kukush, Alexander; Kulik, Alexey; Mishura, Yuliya; Pilipenko, Andrey 9 2010 On hedging European options in geometric fractional Brownian motion market model. Zbl 1202.91312Azmoodeh, Ehsan; Mishura, Yuliya; Valkeila, Esko 13 2009 Functional limit theorems for stochastic integrals with applications to risk processes and to self-financing strategies in a multidimensional market. I. Zbl 1224.60061Mishura, Yu. S.; Shevchenko, G. M.; Yukhnovs’kyj, Yu. V. 3 2009 Existence and uniqueness of solutions of stochastic differential equations with non-Lipschitz diffusion and Poisson measure. Zbl 1224.60156Zubchenko, V. P.; Mishura, Yu. S. 2 2009 The optimal time to exchange one asset for another on finite interval. Zbl 1189.60087Mishura, Yuliya; Shevchenko, Georgiy 2 2009 Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier. Zbl 1224.91158Kulik, O. M.; Mishura, Yu. S.; Solovejko, O. M. 1 2009 Stochastic calculus for fractional Brownian motion and related processes. Zbl 1138.60006Mishura, Yuliya 385 2008 The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion. Zbl 1154.60046Mishura, Yu; Shevchenko, G. 33 2008 ...and 49 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 940 Authors 87 Mishura, Yuliya Stepanivna 33 Yan, Litan 27 Shevchenko, Georgiy M. 23 Ralchenko, Kostiantyn V. 19 Hu, Yaozhong 19 Nualart, David 18 Prakasa Rao, B. L. S. 17 Radchenko, Vadym Mykolaĭovych 15 Shen, Guangjun 14 Xu, Yong 13 Viitasaari, Lauri 12 Sottinen, Tommi 11 Pei, Bin 10 Caraballo Garrido, Tomás 10 Torres, Soledad 10 Yu, Xianye 9 Jiang, Yiming 9 Sun, Xichao 9 Tudor, Ciprian A. 8 Li, Zhi 8 Shklyar, Sergiĭ Volodymyrovych 8 Zili, Mounir 7 Araya, Héctor 7 Fan, Xiliang 7 Hashorva, Enkelejd 7 Kubilius, Kȩstutis 7 Neuenkirch, Andreas 7 Vas’kovskiĭ, Maksim Mikhaĭlovich 7 Wang, Zhi 7 Xiao, Wei-Lin 7 Zeng, Caibin 6 Bender, Christian 6 Dozzi, Marco E. 6 Huang, Xing 6 León, Jorge A. 6 Liu, Junfeng 6 Melnikov, Aleksander Viktorovich 6 Schied, Alexander 6 Tindel, Samy 6 Valkeila, Esko 6 Wang, Yongjin 6 Wu, Jianglun 6 Yang, Qigui 6 Yin, Xiuwei 6 Yuan, Chenggui 5 Azmoodeh, Ehsan 5 Bernido, Christopher C. 5 Boudaoui, Ahmed 5 Carpio-Bernido, Maria Victoria 5 Chen, Chao 5 da Silva, José Luís 5 Deng, Weihua 5 Duan, Jinqiao 5 Kozachenko, Yuriĭ Vasyl’ovych 5 Kuznetsov, Dmitriĭ Feliksovich 5 Liu, Yanghui 5 Makogin, Vitalii 5 Pirozzi, Enrica 5 Ragulina, Olena 5 Shalaiko, Taras 5 Słomiński, Leszek 5 Wang, Yejuan 5 Xu, Liping 5 Yang, Xiaoyuan 4 Ascione, Giacomo 4 Banna, Oksana L. 4 Bock, Wolfgang 4 Chen, Yangquan 4 Dębicki, Krzysztof 4 Nguyen Tien Dung 4 Garrido-Atienza, María José 4 Garzón, Johanna 4 Jing, Shuai 4 Kulinich, Grygoriĭ Logvynovych 4 Kushnirenko, Svitlana V. 4 Marie, Nicolas 4 Nie, Daxin 4 Ouahab, Abdelghani 4 Shokrollahi, Foad 4 Skorniakov, Viktor 4 Tahmasebi, Mahdieh 4 Yu, Qian 4 Yurchenko-Tytarenko, Anton 4 Zhang, Xili 4 Zhitlukhin, Mikhail V. 4 Zougar, Eya 3 Balan, Raluca M. 3 Biagini, Francesca 3 Bisewski, Krzysztof 3 Bo, Lijun 3 Bornales, Jinky B. 3 Borovkov, Konstantin A. 3 Bourguin, Solesne 3 Chronopoulou, Alexandra 3 Cui, Jing 3 Falkowski, Adrian 3 Fink, Holger 3 Fukasawa, Masaaki 3 Han, Jingqi 3 Han, Xiyue ...and 840 more Authors all top 5 Cited in 191 Serials 61 Theory of Probability and Mathematical Statistics 40 Stochastic Processes and their Applications 40 Modern Stochastics. 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