Search Results - "Kubilius, Kęstutis"

The Implicit Euler Scheme for FSDEs with Stochastic Forcing: Existence and Uniqueness of the Solution by Kubilius, Kęstutis

“…In this paper, we focus on fractional stochastic differential equations (FSDEs) with a stochastic forcing term, i.e., to FSDE, we add a stochastic forcing…”
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Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift by Kubilius, Kęstutis

“…Strongly consistent and asymptotically normal estimates of the Hurst index H are obtained for stochastic differential equations (SDEs) that have a unique…”
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A Class of Fractional Stochastic Differential Equations with a Soft Wall by Kubilius, Kęstutis, Medžiūnas, Aidas

“…In this paper we are interested in fractional stochactic differential equations (SDEs) with a soft wall. What do we mean by such a type of equation? It has…”
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From Constant to Rough: A Survey of Continuous Volatility Modeling by Di Nunno, Giulia, Kubilius, Kęstutis, Mishura, Yuliya, Yurchenko-Tytarenko, Anton

“…In this paper, we present a comprehensive survey of continuous stochastic volatility models, discussing their historical development and the key stylized facts…”
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Positive Solutions of the Fractional SDEs with Non-Lipschitz Diffusion Coefficient by Kubilius, Kęstutis, Medžiūnas, Aidas

“…We study a class of fractional stochastic differential equations (FSDEs) with coefficients that may not satisfy the linear growth condition and non-Lipschitz…”
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Pathwise Convergent Approximation for the Fractional SDEs by Kubilius, Kęstutis, Medžiūnas, Aidas

“…Fractional stochastic differential equation (FSDE)-based random processes are used in a wide spectrum of scientific disciplines. However, in the majority of…”
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On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process by Kęstutis Kubilius, Dmitrij Melichov

“…We study some estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process and prove that they are strongly…”
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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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Fractional SDEs with stochastic forcing: Existence, uniqueness, and approximation by Kubilius, Kęstutis

“…In this article, we are interested in fractional stochastic differential equations (FSDEs) with stochastic forcing, i.e., to FSDE we add a stochastic forcing…”
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On approximation of stochastic integrals with respect to a fractional Brownian motion by Kęstutis Kubilius

“…There is not abstract…”
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An approximation of the solution of Stratanovich integral equation driven by a continuous p-semimartingale by Kęstutis Kubilius

“…There is not abstract…”
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Estimating the Hurst index of the solution of a stochastic integral equation by Kęstutis Kubilius, Dmitrij Melichov

“…Let X(t) be a solution of a stochastic integral equation driven by fractional Brownian motion BH and let V2n (X, 2) = \sumn-1 k=1(\delta k2X)2 be the second…”
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On weak convergence of an approximation of a fractional Brownian motion by Kęstutis Kubilius

“…There is not abstract…”
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On estimation of the Hurst index of solutions of stochastic integral equations by Kęstutis Kubilius, Dmitrij Melichov

“…Let X be a solution of a stochasti Let X be a solution of a stochastic integral equation driven by a fractional Brownian motion BH and let Vn(X, 2) = \sumn…”
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On weak solutions of Stratonovich integral equation driven by a continuous p-semimartingales by Kęstutis Kubilius

“…There is not abstract…”
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On approximation of stochastic integral equations driven by continuous p-semimartingales by Kęstutis Kubilius

“…There is not abstract…”
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Exact Confidence Intervals of the Extended Orey Index for Gaussian Processes by Kubilius, Kęstutis, Melichov, Dmitrij

“…In this paper exact confidence intervals for the Orey index of Gaussian processes are obtained using concentration inequalities for Gaussian quadratic forms…”
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The existence and uniqueness of the solution of the integral equation driven by fractional Brownian motion by Kęstutis Kubilius

“…There is not abstract…”
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The existence and uniqueness of the solution of the integral equation driven by a bounded p-variation function by Kęstutis Kubilius

“…There is not abstract…”
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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}) by Kubilius, Kęstutis, Mishura, Yuliya, Ralchenko, Kostiantyn, Seleznjev, Oleg

“…parameter θ and where the noise is modeled as fractional Brownian motionwith Hurst index H ∈ (0, 12 ). The solution corresponds to the…”
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