Search Results - "Shevchenko, Georgiy"

Optimal investments for the standard maximization problem with non-concave utility function in complete market model by Bahchedjioglou, Olena, Shevchenko, Georgiy

“…We study the standard utility maximization problem for a non-decreasing upper-semicontinuous utility function satisfying mild growth assumption. In contrast to…”
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Minimax identity with robust utility functional for a nonconcave utility by Bahchedjioglou, Olena, Shevchenko, Georgiy

“…The minimax identity for a nondecreasing upper-semicontinuous utility function satisfying mild growth assumption is studied. In contrast to the classical…”
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Nonparametric estimation of the kernel function of symmetric stable moving average random functions by Kampf, Jürgen, Shevchenko, Georgiy, Spodarev, Evgeny

“…We estimate the kernel function of a symmetric alpha stable ( S α S ) moving average random function which is observed on a regular grid of points. The…”
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Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics by Hashorva, Enkelejd, Mishura, Yuliya, Shevchenko, Georgiy

“…We study boundary non-crossing probabilities P f , u : = P ( ∀ t ∈ T X t + f ( t ) ≤ u ( t ) ) for a continuous centered Gaussian process X indexed by some…”
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Convergence of hitting times for jump-diffusion processes by Shevchenko, Georgiy

“…We investigate the convergence of hitting times for jump-diffusion processes. Specifically, we study a sequence of stochastic differential equations with…”
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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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Existence and Uniqueness of the Solution of Stochastic Differential Equation Involving Wiener Process and Fractional Brownian Motion with Hurst Index H > 1/2 by Mishura, Yulia S., Shevchenko, Georgiy M.

“…We consider a mixed stochastic differential equation driven by possibly dependent fractional Brownian motion and Brownian motion. Under mild regularity…”
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Integrability of Solutions to Mixed Stochastic Differential Equations by Shevchenko, Georgiy M.

“…We prove that the standard conditions for the unique solvability of a mixed stochastic differential equation guarantee that its solution possesses finite…”
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Stochastic wave equation in a plane driven by spatial stable noise by Pryhara, Larysa, Shevchenko, Georgiy

“…The main object of this paper is the planar wave equation \[ \bigg(\frac{{\partial }^{2}}{\partial {t}^{2}}-{a}^{2}\varDelta…”
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Approximations for a solution to stochastic heat equation with stable noise by Pryhara, Larysa, Shevchenko, Georgiy

“…We consider a Cauchy problem for stochastic heat equation driven by a real harmonizable fractional stable process Z with Hurst parameter $H>1/2$ and stability…”
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Workshop “Fractality and Fractionality” by Mishura, Yuliya, Shevchenko, Georgiy

“…This short note is devoted to the “Fractality and Fractionality” workshop, held on 17–20 May 2016 in Lorentz Center (Leiden, Netherlands)…”
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Integral representation with respect to fractional Brownian motion under a log-Hölder assumption by Shalaiko, Taras, Shevchenko, Georgiy

“…We show that if a random variable is the final value of an adapted log-Hölder continuous process, then it can be represented as a stochastic integral with…”
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Limit Theorems for Additive Functionals of Continuous-Time Lattice Random Walks in a Stationary Random Environment by Shevchenko, Georgiy, Yaroshevskiy, Andrii

“…For a continuous-time lattice random walk $X^\Lambda=\set{X^\Lambda_t,t\ge 0}$ in a random environment $\Lambda$, we study the asymptotic behavior, as…”
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Mixed fractional stochastic differential equations with jumps by Shevchenko, Georgiy

“…In this paper, we consider a stochastic differential equation driven by a fractional Brownian motion and a Wiener process and having jumps. We prove that this…”
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The harmonic mean formula for random processes by Bisewski, Krzysztof, Hashorva, Enkelejd, Shevchenko, Georgiy

“…Motivated by the classical harmonic mean formula, estabished by Aldous in 1989, we investigate the relation between the sojourn time and supremum of a random…”
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Small ball properties and representation results by Mishura, Yuliya, Shevchenko, Georgiy

“…We show that small ball estimates together with Hölder continuity assumption allow to obtain new representation results in models with long memory. In order to…”
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Tail measures and regular variation by Bladt, Martin, Hashorva, Enkelejd, Shevchenko, Georgiy

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Malliavin regularity of solutions to mixed stochastic differential equations by Shevchenko, Georgiy, Shalaiko, Taras

“…For a mixed stochastic differential equation driven by independent fractional Brownian motions and Wiener processes, the existence and integrability of the…”
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Mixed stochastic differential equations with long-range dependence: Existence, uniqueness and convergence of solutions by Mishura, Yuliya, Shevchenko, Georgiy

“…For a mixed stochastic differential equation involving standard Brownian motion and an almost surely Hölder continuous process Z with Hölder exponent γ>1/2, we…”
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Fractionally integrated inverse stable subordinators by Iksanov, Alexander, Kabluchko, Zakhar, Marynych, Alexander, Shevchenko, Georgiy

“…A fractionally integrated inverse stable subordinator (FIISS) is the convolution of an inverse stable subordinator, also known as a Mittag-Leffler process, and…”
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