Stochastic Analysis of Mixed Fractional Gaussian Processes
From MaRDI portal
Publication:4595037
DOI10.1016/C2017-0-00186-6zbMath1455.60004MaRDI QIDQ4595037
Mounir Zili, Yuliya S. Mishura
Publication date: 27 November 2017
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Stochastic analysis (60Hxx) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Related Items (15)
From rough to multifractal volatility: the log S-fBm model ⋮ Gaussian Volterra processes with power-type kernels. I ⋮ Fractional processes and their statistical inference: an overview ⋮ Parameter estimation in mixed fractional stochastic heat equation ⋮ Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises ⋮ Sojourn times of Gaussian processes with trend ⋮ Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise ⋮ More on maximal inequalities for sub-fractional Brownian motion ⋮ Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects ⋮ Maximum likelihood estimation for sub-fractional Vasicek model ⋮ The sub-fractional CEV model ⋮ Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion ⋮ Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator ⋮ Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient ⋮ Mixed stochastic heat equation with fractional Laplacian and gradient perturbation
Uses Software
This page was built for publication: Stochastic Analysis of Mixed Fractional Gaussian Processes
