Stochastic calculus for fractional Brownian motion and related processes. Zbl 1138.60006
Mishura, Yuliya |
|
2008
|
Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion. Zbl 0983.60052
Mémin, Jean; Mishura, Yuliya; Valkeila, Esko |
|
2001
|
Existence and uniqueness theorems for solutions of McKean-Vlasov stochastic equations. Zbl 1482.60079
Mishura, Yuliya; Veretennikov, Alexander |
|
2020
|
The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion. Zbl 1154.60046
Mishura, Yu; Shevchenko, G. |
|
2008
|
Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions. Zbl 1268.60088
Mishura, Yuliya; Shevchenko, Georgiy |
|
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 1315.60071
Mishura, Yulia S.; Shevchenko, Georgiy M. |
|
2011
|
Parameter estimation in fractional diffusion models. Zbl 1388.60006
Kubilius, Kęstutis; Mishura, Yuliya; Ralchenko, Kostiantyn |
|
2017
|
On drift parameter estimation in models with fractional Brownian motion. Zbl 1396.62190
Kozachenko, Y.; Melnikov, A.; Mishura, Y. |
|
2015
|
Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027
Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail |
|
2017
|
Stochastic analysis of mixed fractional Gaussian processes. Zbl 1455.60004
Mishura, Yuliya; Zili, Mounir |
|
2018
|
Fractional Cox-Ingersoll-Ross process with non-zero “mean”. Zbl 1391.60078
Mishura, Yuliya; Yurchenko-Tytarenko, Anton |
|
2018
|
Mixed Brownian-fractional Brownian model: absence of arbitrage and related topics. Zbl 1115.60043
Androshchuk, Taras; Mishura, Yuliya |
|
2006
|
Fractional Lévy processes as a result of compact interval integral transformation. Zbl 1239.60029
Tikanmäki, Heikki; Mishura, Yuliya |
|
2011
|
On hedging European options in geometric fractional Brownian motion market model. Zbl 1202.91312
Azmoodeh, Ehsan; Mishura, Yuliya; Valkeila, Esko |
|
2009
|
Stochastic differential equations driven by a Wiener process and fractional Brownian motion: convergence in Besov space with respect to a parameter. Zbl 1228.60067
Mishura, Yu. S.; Posashkova, S. V. |
|
2011
|
Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises. Zbl 1433.60059
Mishura, Yu.; Ralchenko, K.; Shevchenko, G. |
|
2019
|
Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process. Zbl 1409.60061
Mishura, Yu. S.; Piterbarg, V. I.; Ralchenko, K. V.; Yurchenko-Tytarenko, A. Yu. |
|
2018
|
The rate of convergence of Hurst index estimate for the stochastic differential equation. Zbl 1255.60065
Kubilius, K.; Mishura, Y. |
|
2012
|
Stochastic viability and comparison theorems for mixed stochastic differential equations. Zbl 1310.60087
Melnikov, Alexander; Mishura, Yuliya; Shevchenko, Georgiy |
|
2015
|
Asymptotic behavior of mixed power variations and statistical estimation in mixed models. Zbl 1329.60102
Dozzi, Marco; Mishura, Yuliya; Shevchenko, Georgiy |
|
2015
|
Theory of stochastic processes. With applications to financial mathematics and risk theory. Zbl 1189.60001
Gusak, Dmytro; Kukush, Alexander; Kulik, Alexey; Mishura, Yuliya; Pilipenko, Andrey |
|
2010
|
Approximation schemes for stochastic differential equations in Hilbert space. Zbl 1148.60044
Mishura, Yu. S.; Shevchenko, G. M. |
|
2007
|
Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\). Zbl 1326.60048
Kubilius, Kęstutis; Mishura, Yuliya; Ralchenko, Kostiantyn; Seleznjev, Oleg |
|
2015
|
On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity. Zbl 1408.28014
Mishura, Yuliya; Schied, Alexander |
|
2019
|
Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications. Zbl 1485.60043
Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica |
|
2021
|
Weak solutions for stochastic differential equations with additive fractional noise. Zbl 1063.60085
Mishura, Yu.; Nualart, D. |
|
2005
|
Ruin probabilities. Smoothness, bounds, supermartingale approach. Zbl 1422.91023
Mishura, Yuliya; Ragulina, Olena |
|
2016
|
Approximation of fractional Brownian motion by Wiener integrals. Zbl 1224.60079
Mishura, Yu. S.; Banna, O. L. |
|
2008
|
Fractional Brownian motion. Approximations and projections. Zbl 1506.60001
Banna, Oksana; Mishura, Yuliya; Ralchenko, Kostiantyn; Shklyar, Sergiy |
|
2019
|
New and refined bounds for expected maxima of fractional Brownian motion. Zbl 1406.60058
Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail |
|
2018
|
The absence of arbitrage in a mixed Brownian-fractional Brownian model. Zbl 1113.91322
Mishura, Yu. S.; Valkeila, E. |
|
2002
|
Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process. Zbl 1356.60062
Kukush, Alexander; Mishura, Yuliya; Ralchenko, Kostiantyn |
|
2017
|
Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process. Zbl 1332.60049
Mishura, Yuliya |
|
2015
|
Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas. Zbl 1403.91345
Kuchuk-Iatsenko, Sergii; Mishura, Yuliya |
|
2015
|
Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion. Zbl 1290.60069
Mishura, Yuliya S.; Shevchenko, Georgiy M. |
|
2011
|
Time-changed fractional Ornstein-Uhlenbeck process. Zbl 1450.60030
Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica |
|
2020
|
Fractional stochastic integration and Black-Scholes equation for fractional Brownian model with stochastic volatility. Zbl 1052.60029
Mishura, Yuliya |
|
2004
|
Approximation of fractional Brownian motion by martingales. Zbl 1312.60043
Shklyar, Sergiy; Shevchenko, Georgiy; Mishura, Yuliya; Doroshenko, Vadym; Banna, Oksana |
|
2014
|
Optimal stopping for Lévy processes with one-sided solutions. Zbl 1347.60045
Mordecki, Ernesto; Mishura, Yuliya |
|
2016
|
An extension of the Lévy characterization to fractional Brownian motion. Zbl 1227.60051
Mishura, Yuliya; Valkeila, Esko |
|
2011
|
Approximation of fractional Brownian motion with associated Hurst index separated from 1 by stochastic integrals of linear power functions. Zbl 1224.60074
Banna, Oksana L.; Mishura, Yuliya S. |
|
2008
|
Random variables as pathwise integrals with respect to fractional Brownian motion. Zbl 1328.60131
Mishura, Yuliya; Shevchenko, Georgiy; Valkeila, Esko |
|
2013
|
Maximum likelihood drift estimation for the mixing of two fractional Brownian motions. Zbl 1498.60152
Mishura, Yuliya |
|
2016
|
Boundary non-crossing probabilities for fractional Brownian motion with trend. Zbl 1337.60065
Hashorva, Enkelejd; Mishura, Yuliya; Seleznjev, Oleg |
|
2015
|
Constructing functions with prescribed pathwise quadratic variation. Zbl 1343.60066
Mishura, Yuliya; Schied, Alexander |
|
2016
|
Convergence of solutions of mixed stochastic delay differential equations with applications. Zbl 1338.34155
Mishura, Yuliya; Shalaiko, Taras; Shevchenko, Georgiy |
|
2015
|
Boundary noncrossings of additive Wiener fields. Zbl 1304.60059
Hashorva, Enkelejd; Mishura, Yuliya |
|
2014
|
High-frequency trading with fractional Brownian motion. Zbl 1461.91300
Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós |
|
2021
|
Properties of solutions of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion. Zbl 1224.91194
Mishura, Yu. S.; Posashkova, S. V.; Shevchenko, G. M. |
|
2008
|
Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and Wiener process. Zbl 1142.60028
Mishura, Yuliya; Posashkov, Sergiy |
|
2007
|
Martingale transforms and Girsanov theorem for long-memory Gaussian processes. Zbl 1002.60030
Mishura, Yuliya; Valkeila, Esko |
|
2001
|
Atomic decompositions and inequalities for vector-valued discrete-time martingales. Zbl 0956.60037
Mishura, Yu. S.; Weisz, F. |
|
1998
|
The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black-Scholes model. Zbl 1338.60072
Mishura, Yuliya |
|
2015
|
The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process. Zbl 1336.91079
Mishura, Yuliya |
|
2015
|
Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations. Zbl 1322.60091
Kulinich, G. L.; Kushnirenko, S. V.; Mishura, Yu. S. |
|
2015
|
Theory and statistical applications of stochastic processes. Zbl 1375.60006
Mishura, Yuliya; Shevchenko, Georgiy |
|
2017
|
Practical approaches to the estimation of the ruin probability in a risk model with additional funds. Zbl 1349.91151
Mishura, Yuliya; Ragulina, Olena; Stroyev, Oleksandr |
|
2014
|
Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation. Zbl 1403.91346
Kuchuk-Iatsenko, Sergii; Mishura, Yuliya |
|
2015
|
How does tempering affect the local and global properties of fractional Brownian motion? Zbl 1484.60046
Azmoodeh, Ehsan; Mishura, Yuliya; Sabzikar, Farzad |
|
2022
|
The simplest martingales of the best approximation of fractional Brownian motion. Zbl 1199.60132
Banna, O.; Mishura, Yu. |
|
2008
|
Exponential estimates for two-parameter martingales. Zbl 0635.60049
Mishura, Yu. S. |
|
1987
|
On reselling of European option. Zbl 1141.91017
Kukush, A. G.; Mishura, Yu. S.; Shevchenko, G. M. |
|
2006
|
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth. Zbl 1411.91542
Bezborodov, Viktor; Di Persio, Luca; Mishura, Yuliya |
|
2019
|
Statistical inference with fractional Brownian motion. Zbl 1107.62355
Kukush, Alexander; Mishura, Yuliya; Valkeila, Esko |
|
2005
|
Convexity and robustness of the Rényi entropy. Zbl 1479.60025
Buryak, Filipp; Mishura, Yuliya |
|
2021
|
The generalization of the quantile hedging problem for a price process model involving a finite number of Brownian and fractional Brownian motions. Zbl 1224.91190
Bratyk, Mykhaylo; Mishura, Yuliya |
|
2008
|
Positivity of solution of nonhomogeneous stochastic differential equation with non-Lipschitz diffusion. Zbl 1224.60146
Mishura, Yuliya; Posashkova, Svitlana |
|
2008
|
Gaussian Volterra processes with power-type kernels. I. Zbl 1512.60024
Mishura, Yuliya; Shklyar, Sergiy |
|
2022
|
Sandwiched SDEs with unbounded drift driven by Hölder noises. Zbl 07779237
Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton |
|
2023
|
Analytic properties of infinite-horizon survival probability in a risk model with additional funds. Zbl 1339.91063
Mishura, Yu. S.; Ragulina, O. Yu.; Stroev, O. M. |
|
2015
|
Example of a Gaussian self-similar field with stationary rectangular increments that is not a fractional Brownian sheet. Zbl 1316.60077
Makogin, Vitalii; Mishura, Yuliya |
|
2015
|
Asymptotic behavior of integral functionals of unstable solutions of one-dimensional Itô stochastic differential equations. Zbl 1322.60090
Kulinich, G. L.; Kushnirenko, S. V.; Mishura, Yu. S. |
|
2014
|
Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion. Zbl 1329.60193
Mishura, Yuliya; Ral’chenko, Kostiantyn; Seleznev, Oleg; Shevchenko, Georgiy |
|
2014
|
Rate of convergence of option prices by using the method of pseudomoments. Zbl 1345.60018
Mishura, Yu. S.; Munchak, E. Yu. |
|
2016
|
The rate of convergence to the normal law in terms of pseudomoments. Zbl 1349.60016
Mishura, Yuliya; Munchak, Yevheniya; Slyusarchuk, Petro |
|
2015
|
Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence. Zbl 1352.60059
Mishura, Yuliya; Voronov, Ivan |
|
2015
|
Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise. Zbl 1355.60068
Di Nunno, Giulia; Mishura, Yuliya; Ralchenko, Kostiantyn |
|
2016
|
Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent. Zbl 1331.62116
Mishura, Yuliya |
|
2014
|
The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion. Zbl 1280.60041
Mishura, Yuliya S.; Posashkova, Svitlana V. |
|
2011
|
Functional limit theorems for stochastic integrals with applications to risk processes and to self-financing strategies in a multidimensional market. I. Zbl 1224.60061
Mishura, Yu. S.; Shevchenko, G. M.; Yukhnovs’kyj, Yu. V. |
|
2009
|
Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend. Zbl 1498.60149
Kukush, Alexander; Lohvinenko, Stanislav; Mishura, Yuliya; Ralchenko, Kostiantyn |
|
2022
|
Optimization of small deviation for mixed fractional Brownian motion with trend. Zbl 1498.60150
MacKay, Anne; Melnikov, Alexander; Mishura, Yuliya |
|
2018
|
A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval. Zbl 1243.60034
Banna, O. L.; Mishura, Yu. S. |
|
2011
|
An isometric approach to generalized stochastic integrals. Zbl 0965.60054
Mishura, Yuliya; Valkeila, Esko |
|
2000
|
A generalized Itô formula for two-parameter martingales. II. Zbl 0629.60051
Mishura, Yu. S. |
|
1986
|
Sufficient conditions for relative compactness of measures corresponding to two-parameter strong martingales. Zbl 0629.60052
Mishura, Yu. S. |
|
1987
|
Fractional Cox-Ingersoll-Ross process with small Hurst indices. Zbl 1454.60053
Mishura, Yuliya; Yurchenko-Tytarenko, Anton |
|
2018
|
Differentiability of fractional integrals whose kernels contain fractional Brownian motion. Zbl 0985.60057
Krvavych, Yu. V.; Mishura, Yu. S. |
|
2001
|
An estimate for the rate of convergence of a difference scheme applied to a stochastic differential equation with an additional process parameter. Zbl 1232.60052
Mishura, Yuliya S.; Shvaĭ, O. V. |
|
2011
|
Decomposition of two-parameter martingales into orthogonal components. Zbl 0473.60048
Mishura, Yu. S. |
|
1980
|
On the convergence of random fields in the J-topology. Zbl 0433.60056
Mishura, Yu. S. |
|
1979
|
Inequalities for vector-valued martingales with continuous time. Zbl 0939.60025
Weisz, F.; Mishura, Yu. S. |
|
1998
|
Standard and fractional reflected Ornstein-Uhlenbeck processes as the limits of square roots of Cox-Ingersoll-Ross processes. Zbl 07701608
Mishura, Yuliya; Yurchenko-Tytarenko, Anton |
|
2023
|
European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process. Zbl 1336.60134
Mishura, Yu.; Rizhniak, G.; Zubchenko, V. |
|
2014
|
Optimal stopping time problem for random walks with polynomial reward functions. Zbl 1300.60058
Mishura, Yu. S.; Tomashyk, V. V. |
|
2013
|
Gaussian Volterra processes with power-type kernels. II. Zbl 1502.60046
Mishura, Yuliya; Shklyar, Sergiy |
|
2022
|
Asymptotic analysis of unstable solutions of stochastic differential equations. Zbl 1456.60002
Kulinich, Grigorij; Kushnirenko, Svitlana; Mishura, Yuliya |
|
2020
|
Small ball properties and representation results. Zbl 1353.60050
Mishura, Yuliya; Shevchenko, Georgiy |
|
2017
|
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation. Zbl 1395.60042
Dozzi, Marco; Kozachenko, Yuriy; Mishura, Yuliya; Ralchenko, Kostiantyn |
|
2018
|
Asymptotic behavior of homogeneous additive functionals of the solutions of Itô stochastic differential equations with nonregular dependence on parameter. Zbl 1352.60049
Kulinich, Grigorij; Kushnirenko, Svitlana; Mishura, Yuliia |
|
2016
|
Sandwiched SDEs with unbounded drift driven by Hölder noises. Zbl 07779237
Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton |
|
2023
|
Standard and fractional reflected Ornstein-Uhlenbeck processes as the limits of square roots of Cox-Ingersoll-Ross processes. Zbl 07701608
Mishura, Yuliya; Yurchenko-Tytarenko, Anton |
|
2023
|
Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises. Zbl 1522.65011
Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton |
|
2023
|
How does tempering affect the local and global properties of fractional Brownian motion? Zbl 1484.60046
Azmoodeh, Ehsan; Mishura, Yuliya; Sabzikar, Farzad |
|
2022
|
Gaussian Volterra processes with power-type kernels. I. Zbl 1512.60024
Mishura, Yuliya; Shklyar, Sergiy |
|
2022
|
Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend. Zbl 1498.60149
Kukush, Alexander; Lohvinenko, Stanislav; Mishura, Yuliya; Ralchenko, Kostiantyn |
|
2022
|
Gaussian Volterra processes with power-type kernels. II. Zbl 1502.60046
Mishura, Yuliya; Shklyar, Sergiy |
|
2022
|
Parameter estimation in CKLS model by continuous observations. Zbl 1497.60080
Mishura, Yuliya; Ralchenko, Kostiantyn; Dehtiar, Olena |
|
2022
|
Divergence of an integral of a process with small ball estimate. Zbl 1493.60059
Mishura, Yuliya; Yoshidae, Nakahiro |
|
2022
|
Gaussian processes with Volterra kernels. Zbl 07819618
Mishura, Yuliya; Shevchenko, Georgiy; Shklyar, Sergiy |
|
2022
|
Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises. Zbl 1537.60040
Di Nunno, Giulia; Mishura, Yuliya; Ralchenko, Kostiantyn |
|
2022
|
Two methods of estimation of the drift parameters of the Cox-Ingersoll-Ross process: continuous observations. Zbl 07585023
Dehtiar, Olena; Mishura, Yuliya; Ralchenko, Kostiantyn |
|
2022
|
Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications. Zbl 1485.60043
Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica |
|
2021
|
High-frequency trading with fractional Brownian motion. Zbl 1461.91300
Guasoni, Paolo; Mishura, Yuliya; Rásonyi, Miklós |
|
2021
|
Convexity and robustness of the Rényi entropy. Zbl 1479.60025
Buryak, Filipp; Mishura, Yuliya |
|
2021
|
Fractional stochastic heat equation with piecewise constant coefficients. Zbl 1476.60076
Mishura, Yuliya; Ralchenko, Kostiantyn; Zili, Mounir; Zougar, Eya |
|
2021
|
Limit theorems for additive functionals of continuous time random walks. Zbl 1485.60049
Kondratiev, Yuri; Mishura, Yuliya; Shevchenko, Georgiy |
|
2021
|
Perpetual integral functionals of multidimensional stochastic processes. Zbl 1492.60221
Kondratiev, Yuri; Mishura, Yuliya; da Silva, José L. |
|
2021
|
Convergence results for the time-changed fractional Ornstein-Uhlenbeck processes. Zbl 1470.60111
Ascione, G.; Mishura, Yu.; Pirozzi, E. |
|
2021
|
Existence and uniqueness theorems for solutions of McKean-Vlasov stochastic equations. Zbl 1482.60079
Mishura, Yuliya; Veretennikov, Alexander |
|
2020
|
Time-changed fractional Ornstein-Uhlenbeck process. Zbl 1450.60030
Ascione, Giacomo; Mishura, Yuliya; Pirozzi, Enrica |
|
2020
|
Asymptotic analysis of unstable solutions of stochastic differential equations. Zbl 1456.60002
Kulinich, Grigorij; Kushnirenko, Svitlana; Mishura, Yuliya |
|
2020
|
Editorial. Zbl 07351632
|
|
2020
|
Small deviations for mixed fractional Brownian motion with trend and with Hurst index \(H>1/2\). Zbl 1490.60088
Makogin, Vitalii; Mishura, Yuliya |
|
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 1468.60046
Banna, Oksana; Buryak, Filipp; Mishura, Yuliya |
|
2020
|
Fractional integrals, derivatives and integral equations with weighted Takagi-Landsberg functions. Zbl 1452.26007
Makogin, Vitalii; Mishura, Yuliya |
|
2020
|
On mild and weak solutions for stochastic heat equations with piecewise-constant conductivity. Zbl 1436.60037
Mishura, Yuliya; Ralchenko, Kostiantyn; Zili, Mounir |
|
2020
|
Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model. Zbl 1460.91272
Mishura, Yuliya; Yurchenko-Tytarenko, Anton |
|
2020
|
Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises. Zbl 1433.60059
Mishura, Yu.; Ralchenko, K.; Shevchenko, G. |
|
2019
|
On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity. Zbl 1408.28014
Mishura, Yuliya; Schied, Alexander |
|
2019
|
Fractional Brownian motion. Approximations and projections. Zbl 1506.60001
Banna, Oksana; Mishura, Yuliya; Ralchenko, Kostiantyn; Shklyar, Sergiy |
|
2019
|
Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth. Zbl 1411.91542
Bezborodov, Viktor; Di Persio, Luca; Mishura, Yuliya |
|
2019
|
Evaluation of extreme values of entropy functionals. Zbl 1448.60166
Mishura, Yu. S.; Zhelezniak, H. S. |
|
2019
|
Stochastic analysis of mixed fractional Gaussian processes. Zbl 1455.60004
Mishura, Yuliya; Zili, Mounir |
|
2018
|
Fractional Cox-Ingersoll-Ross process with non-zero “mean”. Zbl 1391.60078
Mishura, Yuliya; Yurchenko-Tytarenko, Anton |
|
2018
|
Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process. Zbl 1409.60061
Mishura, Yu. S.; Piterbarg, V. I.; Ralchenko, K. V.; Yurchenko-Tytarenko, A. Yu. |
|
2018
|
New and refined bounds for expected maxima of fractional Brownian motion. Zbl 1406.60058
Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail |
|
2018
|
Optimization of small deviation for mixed fractional Brownian motion with trend. Zbl 1498.60150
MacKay, Anne; Melnikov, Alexander; Mishura, Yuliya |
|
2018
|
Fractional Cox-Ingersoll-Ross process with small Hurst indices. Zbl 1454.60053
Mishura, Yuliya; Yurchenko-Tytarenko, Anton |
|
2018
|
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation. Zbl 1395.60042
Dozzi, Marco; Kozachenko, Yuriy; Mishura, Yuliya; Ralchenko, Kostiantyn |
|
2018
|
Replication of Wiener-transformable stochastic processes with application to financial markets with memory. Zbl 1423.60107
Boguslavskaya, Elena; Mishura, Yuliya; Shevchenko, Georgiy |
|
2018
|
Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions. Zbl 1423.60064
Mishura, Yuliya; Ralchenko, Kostiantyn; Shklyar, Sergiy |
|
2018
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Maximum likelihood estimation for Gaussian process with nonlinear drift. Zbl 1420.62364
Mishura, Yuliya; Ralchenko, Kostiantyn; Shklyar, Sergiy |
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2018
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Parameter estimation in fractional diffusion models. Zbl 1388.60006
Kubilius, Kęstutis; Mishura, Yuliya; Ralchenko, Kostiantyn |
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2017
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Bounds for expected maxima of Gaussian processes and their discrete approximations. Zbl 1361.60027
Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail |
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2017
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Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process. Zbl 1356.60062
Kukush, Alexander; Mishura, Yuliya; Ralchenko, Kostiantyn |
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2017
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Theory and statistical applications of stochastic processes. Zbl 1375.60006
Mishura, Yuliya; Shevchenko, Georgiy |
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2017
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Small ball properties and representation results. Zbl 1353.60050
Mishura, Yuliya; Shevchenko, Georgiy |
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2017
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Drift parameter estimation in the models involving fractional Brownian motion. Zbl 1382.60063
Mishura, Yuliya; Ralchenko, Kostiantyn |
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2017
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Extreme measures for entropy functionals. Zbl 1438.60003
Mishura, Yu. S.; Zheleznyak, G. S. |
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2017
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An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility. Zbl 1377.91160
Kuchuk-Yatsenko, S. V.; Mishura, Yu. S.; Munchak, Ye. Yu. |
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2017
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On mean-variance hedging under partial observations and terminal wealth constraints. Zbl 1396.91695
Makogin, Vitalii; Melnikov, Alexander; Mishura, Yuliya |
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2017
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Ruin probabilities. Smoothness, bounds, supermartingale approach. Zbl 1422.91023
Mishura, Yuliya; Ragulina, Olena |
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2016
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Optimal stopping for Lévy processes with one-sided solutions. Zbl 1347.60045
Mordecki, Ernesto; Mishura, Yuliya |
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2016
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Maximum likelihood drift estimation for the mixing of two fractional Brownian motions. Zbl 1498.60152
Mishura, Yuliya |
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2016
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Constructing functions with prescribed pathwise quadratic variation. Zbl 1343.60066
Mishura, Yuliya; Schied, Alexander |
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2016
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Rate of convergence of option prices by using the method of pseudomoments. Zbl 1345.60018
Mishura, Yu. S.; Munchak, E. Yu. |
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2016
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Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise. Zbl 1355.60068
Di Nunno, Giulia; Mishura, Yuliya; Ralchenko, Kostiantyn |
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2016
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Asymptotic behavior of homogeneous additive functionals of the solutions of Itô stochastic differential equations with nonregular dependence on parameter. Zbl 1352.60049
Kulinich, Grigorij; Kushnirenko, Svitlana; Mishura, Yuliia |
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2016
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Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility. Zbl 1355.60071
Bel Hadj Khlifa, Meriem; Mishura, Yuliya; Ralchenko, Kostiantyn; Zili, Mounir |
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2016
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Limit behavior of functionals of solutions of diffusion type equations. Zbl 1345.60029
Kulinich, G. L.; Kushnirenko, S. V.; Mishura, Yu. S. |
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2016
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Functional limit theorems for additive and multiplicative schemes in the Cox-Ingersoll-Ross model. Zbl 1352.60050
Mishura, Yuliia; Munchak, Yevheniia |
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2016
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Rate of convergence of option prices for approximations of the geometric Ornstein-Uhlenbeck process by Bernoulli jumps of prices on assets. Zbl 1415.91288
Mishura, Yu. S.; Munchak, Ye. Yu. |
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2016
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On drift parameter estimation in models with fractional Brownian motion. Zbl 1396.62190
Kozachenko, Y.; Melnikov, A.; Mishura, Y. |
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2015
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Stochastic viability and comparison theorems for mixed stochastic differential equations. Zbl 1310.60087
Melnikov, Alexander; Mishura, Yuliya; Shevchenko, Georgiy |
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2015
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Asymptotic behavior of mixed power variations and statistical estimation in mixed models. Zbl 1329.60102
Dozzi, Marco; Mishura, Yuliya; Shevchenko, Georgiy |
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2015
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Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\). Zbl 1326.60048
Kubilius, Kęstutis; Mishura, Yuliya; Ralchenko, Kostiantyn; Seleznjev, Oleg |
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2015
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Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process. Zbl 1332.60049
Mishura, Yuliya |
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2015
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Pricing the European call option in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Exact formulas. Zbl 1403.91345
Kuchuk-Iatsenko, Sergii; Mishura, Yuliya |
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2015
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Boundary non-crossing probabilities for fractional Brownian motion with trend. Zbl 1337.60065
Hashorva, Enkelejd; Mishura, Yuliya; Seleznjev, Oleg |
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2015
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Convergence of solutions of mixed stochastic delay differential equations with applications. Zbl 1338.34155
Mishura, Yuliya; Shalaiko, Taras; Shevchenko, Georgiy |
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2015
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The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black-Scholes model. Zbl 1338.60072
Mishura, Yuliya |
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2015
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The rate of convergence of option prices on the asset following a geometric Ornstein-Uhlenbeck process. Zbl 1336.91079
Mishura, Yuliya |
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2015
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Asymptotic behavior of the martingale type integral functionals for unstable solutions to stochastic differential equations. Zbl 1322.60091
Kulinich, G. L.; Kushnirenko, S. V.; Mishura, Yu. S. |
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2015
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Option pricing in the model with stochastic volatility driven by Ornstein-Uhlenbeck process. Simulation. Zbl 1403.91346
Kuchuk-Iatsenko, Sergii; Mishura, Yuliya |
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2015
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Analytic properties of infinite-horizon survival probability in a risk model with additional funds. Zbl 1339.91063
Mishura, Yu. S.; Ragulina, O. Yu.; Stroev, O. M. |
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2015
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Example of a Gaussian self-similar field with stationary rectangular increments that is not a fractional Brownian sheet. Zbl 1316.60077
Makogin, Vitalii; Mishura, Yuliya |
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2015
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The rate of convergence to the normal law in terms of pseudomoments. Zbl 1349.60016
Mishura, Yuliya; Munchak, Yevheniya; Slyusarchuk, Petro |
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2015
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Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence. Zbl 1352.60059
Mishura, Yuliya; Voronov, Ivan |
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2015
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Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent. Zbl 1326.60076
Banna, O. L.; Mishura, Yu. S.; Shklyar, S. V. |
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2015
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Approximation of fractional Brownian motion by martingales. Zbl 1312.60043
Shklyar, Sergiy; Shevchenko, Georgiy; Mishura, Yuliya; Doroshenko, Vadym; Banna, Oksana |
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2014
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Boundary noncrossings of additive Wiener fields. Zbl 1304.60059
Hashorva, Enkelejd; Mishura, Yuliya |
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2014
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Practical approaches to the estimation of the ruin probability in a risk model with additional funds. Zbl 1349.91151
Mishura, Yuliya; Ragulina, Olena; Stroyev, Oleksandr |
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2014
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Asymptotic behavior of integral functionals of unstable solutions of one-dimensional Itô stochastic differential equations. Zbl 1322.60090
Kulinich, G. L.; Kushnirenko, S. V.; Mishura, Yu. S. |
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2014
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Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion. Zbl 1329.60193
Mishura, Yuliya; Ral’chenko, Kostiantyn; Seleznev, Oleg; Shevchenko, Georgiy |
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2014
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Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent. Zbl 1331.62116
Mishura, Yuliya |
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2014
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European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process. Zbl 1336.60134
Mishura, Yu.; Rizhniak, G.; Zubchenko, V. |
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2014
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Properties of integrals with respect to fractional Poisson processes with compact kernels. Zbl 1326.60080
Mishura, Yu.; Zubchenko, V. |
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2014
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Strong limit theorems for anisotropic self-similar fields. Zbl 1314.60102
Makogin, V.; Mishura, Yu. |
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2014
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Convergence of exit times for diffusion processes. Zbl 1310.60042
Mishura, Yu. S.; Tomashyk, V. V. |
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2014
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Random variables as pathwise integrals with respect to fractional Brownian motion. Zbl 1328.60131
Mishura, Yuliya; Shevchenko, Georgiy; Valkeila, Esko |
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2013
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Optimal stopping time problem for random walks with polynomial reward functions. Zbl 1300.60058
Mishura, Yu. S.; Tomashyk, V. V. |
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2013
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The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels. Zbl 1307.60038
Doroshenko, V.; Mishura, Yu.; Banna, O. |
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2013
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Distance of fractional Brownian motion to the subspaces of Gaussian martingales. Zbl 1289.60073
Mishura, Yu. S.; Banna, O. L.; Doroshenko, V. V. |
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2013
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Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions. Zbl 1268.60088
Mishura, Yuliya; Shevchenko, Georgiy |
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2012
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The rate of convergence of Hurst index estimate for the stochastic differential equation. Zbl 1255.60065
Kubilius, K.; Mishura, Y. |
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2012
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Dividend barrier strategies in a renewal risk model with generalized Erlang interarrival times. Zbl 1291.91123
Mishura, Yuliya; Schmidli, Hanspeter |
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2012
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Existence and uniqueness of the solution of stochastic differential equation involving Wiener process and fractional Brownian motion with Hurst index \(H > 1/2\). Zbl 1315.60071
Mishura, Yulia S.; Shevchenko, Georgiy M. |
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2011
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Fractional Lévy processes as a result of compact interval integral transformation. Zbl 1239.60029
Tikanmäki, Heikki; Mishura, Yuliya |
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2011
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Stochastic differential equations driven by a Wiener process and fractional Brownian motion: convergence in Besov space with respect to a parameter. Zbl 1228.60067
Mishura, Yu. S.; Posashkova, S. V. |
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2011
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...and 67 more Documents |