Related papers: Multifractional Hermite processes: definition and …
Consider a moving average process $X$ of the form $X(t)=\int_{-\infty}^t x(t-u)dZ_u$, $t\geq 0$, where $Z$ is a (non Gaussian) Hermite process of order $q\geq 2$ and $x:\mathbb{R}_+\to\mathbb{R}$ is sufficiently integrable. This paper…
In this paper, we investigate the optimal control problem for systems driven by mixed fractional Brownian motion (including a fractional Brownian motion with Hurst parameter $H>1/2$ and the standard Brownian motion). By using Malliavin…
In this paper, first we have established Hermite- Hadamard's inequalities for preinvex functions via fractional integrals. Second we extend some estimates of the right side of a Hermite- Hadamard type inequality for preinvex functions via…
Fractional Brownian motion has become a standard tool to address long-range dependence in financial time series. However, a constant memory parameter is too restrictive to address different market conditions. Here we model the price…
We address the problem of estimating the drift parameter in a system of $N$ interacting particles driven by additive fractional Brownian motion of Hurst index \( H \geq 1/2 \). Considering continuous observation of the interacting particles…
Normal inverse Gaussian (NIG) process was introduced by Barndorff-Nielsen (1997) by subordinating Brownian motion with drift to an inverse Gaussian process. Increments of NIG process are independent and stationary. In this paper, we…
In the paper we consider the problem of estimating parameters entering the drift of a fractional Ornstein-Uhlenbeck type process in the non-ergodic case, when the underlying stochastic integral is of Young type. We consider the sampling…
This article investigates several properties related to densities of solutions X to differential equations driven by a fractional Brownian motion with Hurst parameter H>1/4. We first determine conditions for strict positivity of the density…
The definition of generalized random processes in Gel'fand sense allows to extend well-known stochastic models, such as the fractional Brownian motion, and study the related fractional pde's, as well as stochastic differential equations in…
The paper is concerned with a mixed stochastic delay differential equation involving both a Wiener process and a $\gamma$-H\"older continuous process with $\gamma>1/2$ (e.g. a fractional Brownian motion with Hurst parameter greater than…
In this article we will present a new perspective on the variable order fractional calculus, which allows for differentiation and integration to a variable order, i.e. one differentiates (or integrates) a function along the path of a…
In this paper we are interested in multifractional stable processes where the self-similarity index $H$ is a function of time, in other words $H$ becomes time changing, and the stability index $\alpha$ is a constant. Using $\beta$- negative…
We construct a family $I_{n_{\eps}}(f)_{t}$ of continuous stochastic processes that converges in the sense of finite dimensional distributions to a multiple Wiener-It\^o integral $I_{n}^{H}(f1^{\otimes n}_{[0,t]})$ with respect to the…
This work focuses on moderate deviations for two-time scale systems with mixed fractional Brownian motion. Our proof uses the weak convergence method which is based on the variational representation formula for mixed fractional Brownian…
This paper developed an inference problem for Vasicek model driven by a general Gaussian process. We construct a least squares estimator and a moment estimator for the drift parameters of the Vasicek model, and we prove the consistency and…
In this paper we prove, for small Hurst parameters, the higher order differentiability of a stochastic flow associated with a stochastic differential equation driven by an additive multi-dimensional fractional Brownian noise, where the…
We estimate the Hurst parameter $H$ of a fractional Brownian motion from discrete noisy data observed along a high frequency sampling scheme. The presence of systematic experimental noise makes recovery of $H$ more difficult since relevant…
In this paper, we rely on the additive decomposition in law satisfied by a class of stochastic processes, combined with the well-known regulariy properties of fractional Brownian motion, to establish Besov-Orlicz regularity of their sample…
Single-file diffusion behaves as normal diffusion at small time and as anomalous subdiffusion at large time. These properties can be described by fractional Brownian motion with variable Hurst exponent or multifractional Brownian motion. We…
We consider a reflected Ornstein-Uhlenbeck process $X$ driven by a fractional Brownian motion with Hurst parameter $H\in (0, \frac12) \cup (\frac12, 1)$. Our goal is to estimate an unknown drift parameter $\alpha\in (-\infty,\infty)$ on the…