Search Results - "Kostiantyn Ralchenko"

Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations by Ralchenko, Kostiantyn, Yakovliev, Mykyta

“…The object of investigation is the mixed fractional Brownian motion of the form ${X_{t}}=\kappa {B_{t}^{{H_{1}}}+\sigma {B_{t}^{{H_{2}}}$, driven by two…”
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Parameter estimation in mixed fractional stochastic heat equation by Diana Avetisian, Kostiantyn Ralchenko

“…The paper is devoted to a stochastic heat equation with a mixed fractional Brownian noise. We investigate the covariance structure, stationarity, upper bounds…”
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Asymptotic Growth of Sample Paths of Tempered Fractional Brownian Motions, with Statistical Applications to Vasicek-Type Models by Mishura, Yuliya, Ralchenko, Kostiantyn

“…Tempered fractional Brownian motion (TFBM) and tempered fractional Brownian motion of the second kind (TFBMII) modify the power-law kernel in the moving…”
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Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend by Kukush, Alexander, Lohvinenko, Stanislav, Mishura, Yuliya, Ralchenko, Kostiantyn

“…We investigate the mixed fractional Brownian motion with trend of the form X t = θ t + σ W t + κ B t H , driven by a standard Brownian motion W and a…”
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Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation by Avetisian, Diana, Ralchenko, Kostiantyn

“…The paper deals with a stochastic heat equation driven by an additive fractional Brownian space-only noise. We prove that a solution to this equation is a…”
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Maximum likelihood estimation in the non-ergodic fractional Vasicek model by Lohvinenko, Stanislav, Ralchenko, Kostiantyn

“…We investigate the fractional Vasicek model described by the stochastic differential equation $d{X_{t}}=(\alpha -\beta {X_{t}})\hspace{0.1667em}dt+\gamma…”
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Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model by Ralchenko, Kostiantyn

“…We prove the asymptotic normality of the discretized maximum likelihood estimator for the drift parameter in the homogeneous ergodic diffusion model…”
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Existence and uniqueness of mild solution to fractional stochastic heat equation by Kostiantyn Ralchenko, Georgiy Shevchenko

“…For a class of non-autonomous parabolic stochastic partial differential equations defined on a bounded open subset $D\subset {\mathbb{R}^{d}}$ and driven by an…”
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Analytical and Computational Problems Related to Fractional Gaussian Noise by Mishura, Yuliya, Ralchenko, Kostiantyn, Schilling, René L.

“…We study the projection of an element of fractional Gaussian noise onto its neighbouring elements. We prove some analytic results for the coefficients of this…”
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Properties of Various Entropies of Gaussian Distribution and Comparison of Entropies of Fractional Processes by Malyarenko, Anatoliy, Mishura, Yuliya, Ralchenko, Kostiantyn, Rudyk, Yevheniia Anastasiia

“…We consider five types of entropies for Gaussian distribution: Shannon, Rényi, generalized Rényi, Tsallis and Sharma–Mittal entropy, establishing their…”
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Properties of the entropic risk measure EVaR in relation to selected distributions by Mishura, Yuliya, Ralchenko, Kostiantyn, Zelenko, Petro, Zubchenko, Volodymyr

“…Entropic Value-at-Risk (EVaR) measure is a convenient coherent risk measure. Due to certain difficulties in finding its analytical representation, it was…”
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Maximum likelihood estimation for Gaussian process with nonlinear drift by Mishura, Yuliya, Ralchenko, Kostiantyn, Shklyar, Sergiy

“…We investigate the regression model Xt = θG(t) + Bt, where θ is an unknown parameter, G is a known nonrandom function, and B is a centered Gaussian process. We…”
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Maximum Likelihood Estimation in the Fractional Vasicek Model by Lohvinenko, Stanislav, Ralchenko, Kostiantyn

“…We consider the fractional Vasicek model of the form dXt = (α-βXt)dt +γdBHt , driven by fractional Brownian motion BH with Hurst parameter H ∈ (1/2,1). We…”
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The rate of convergence of the Hurst index estimate for a stochastic differential equation by Kubilius, Kęstutis, Skorniakov, Viktor, Ralchenko, Kostiantyn

“…We consider an estimator of the Hurst parameter of stochastic differential equation with respect to a fractional Brownian motion and establish the rate of…”
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General conditions of weak convergence of discrete-time multiplicative scheme to asset price with memory by Mišura, Julija S, Ralchenko, Kostiantyn, Shklyar, S. V

“…We present general conditions for the weak convergence of a discrete-time additive scheme to a stochastic process with memory in the space D [ 0,T ]. Then we…”
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Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model by Lohvinenko, Stanislav, Ralchenko, Kostiantyn, Zhuchenko, Olga

“…We consider the fractional Vasicek model of the form dXt = (α-βXt)dt + γdBHt, driven by fractional Brownian motion BH with Hurst parameter H ∈ (0,1). We…”
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Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility by Bel Hadj Khlifa, Meriem, Mishura, Yuliya, Ralchenko, Kostiantyn, Zili, Mounir

“…We consider a stochastic differential equation of the form \[ dX_{t}=\theta a(t,X_{t})\hspace{0.1667em}dt+\sigma _{1}(t,X_{t})\sigma…”
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Asymptotic Normality of Parameter Estimators for~Mixed Fractional Brownian Motion with Trend by Ralchenko, Kostiantyn, Yakovliev, Mykyta

“…We investigate the mixed fractional Brownian motion of the form Xt = θt+σWt +κBtH , driven by a standard Brownian motion W and a fractional Brownian motion B H…”
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Editorial by Kubilius, Kȩstutis, Ralchenko, Kostiantyn

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Numerical approach to the drift parameter estimation in the model with two fractional Brownian motions by Mishura, Yuliya, Ralchenko, Kostiantyn, Zhelezniak, Hanna

“…The article deals with numerical estimation of the drift parameter in the continuous-time linear model with two independent fractional Brownian motions. The…”
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