On Distributional Properties of Perpetuities

Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index H ∈ (0, 12)

Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models

Construction of maximum likelihood estimator in the mixed fractional–fractional Brownian motion model with double long-range dependence

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Exact Asymptotic for Distribution Densities of Lévy Functionals

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New and refined bounds for expected maxima of fractional Brownian motion

Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models

On a skew stable Lévy process

Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models

Maximum likelihood estimation in the non-ergodic fractional Vasicek model

Схоже за: Stochastic processes and financial applications · Financial Risk and Volatility Modeling · Probability and Risk Models