Related papers: Multifractional Hermite processes: definition and …
We introduce the notion of {\em covariance measure structure} for square integrable stochastic processes. We define Wiener integral, we develop a suitable formalism for stochastic calculus of variations and we make Gaussian assumptions only…
Strongly consistent and asymptotically normal estimators of the Hurst parameter of solutions of stochastic differential equations are proposed. The estimators are based on discrete observations of the underlying processes.
The purpose of this paper is to study the convergence in distribution of two subsequences of the signed cubic variation of the fractional Brownian motion with Hurst parameter $H=1/6$. We prove that, under some conditions on both…
This paper provides yet another look at the mixed fractional Brownian motion (fBm), this time, from the spectral perspective. We derive an approximation for the eigenvalues of its covariance operator, asymptotically accurate up to the…
We study the so-called multi-mixed fractional Brownian motions (mmfBm) and multi-mixed fractional Ornstein--Ulhenbeck (mmfOU) processes. These processes are constructed by mixing by superimposing (infinitely many) independent fractional…
We study the small ball asymptotics problem in $L_2$ for two generalizations of the fractional Brownian motion with variable Hurst parameter. To this end, we perform careful analysis of the singular values asymptotics for associated…
The critical dynamics of conformal field theories on random surfaces is investigated beyond the previously studied dynamics of the overall area and the genus. It is found that the evolution of the order parameter in physical time performs a…
The Hermite-Gauss basis functions have been extensively employed in classical and quantum optics due to their convenient analytic properties. A class of multivariate Hermite-Gauss functions, the anisotropic Hermite-Gauss functions, arise by…
We propose a hybrid estimation procedure to estimate global fixed parameters and subject-specific random effects in a mixed fractional Black-Scholes model based on discrete-time observations. Specifically, we consider $N$ independent…
We prove that the Hausdorff dimension of the record set of a fractional Brownian motion with Hurst parameter $H$ equals $H$.
For every $d\geq 1$, we consider the $d$-dimensional Hermitian fractional Brownian motion (HfBm), that is the process with values in the space of $(d\times d)$-Hermitian matrices and with upper-diagonal entries given by complex fractional…
This thesis consists of two parts. Part I is an introduction to Hermite processes, Hermite random fields, Fisher information and to the papers constituting the thesis. More precisely, in Section 1 we introduce Hermite processes in a…
We consider fractional Brownian motion with the Hurst parameters from (1/2,1). We found that the increment of a fractional Brownian motion can be represented as the sum of a two independent Gaussian processes one of which is smooth in the…
Based on Malliavin calculus tools and approximation results, we show how to compute a maximum likelihood type estimator for a rather general differential equation driven by a fractional Brownian motion with Hurst parameter H>1/2. Rates of…
To extend several known centered Gaussian processes, we introduce a new centered mixed self-similar Gaussian process called the mixed generalized fractional Brownian motion, which could serve as a good model for a larger class of natural…
Operator fractional Brownian motion (OFBM) is the natural vector-valued extension of the univariate fractional Brownian motion. Instead of a scalar parameter, the law of an OFBM scales according to a Hurst matrix that affects every…
The characterization of intermittency in turbulence has its roots in the K62 theory, and if no proper definition is to be found in the literature, statistical properties of intermittency were studied and models were developed in attempt to…
In this paper we estimate both the Hurst and the stable indices of a H-self-similar stable process. More precisely, let $X$ be a $H$-sssi (self-similar stationary increments) symmetric $\alpha$-stable process. The process $X$ is observed at…
In this work, we introduce a new process by modifying the kernel in the time domain representation of the generalized Hermite process. This modification is constructed by means of multiplication of the kernel in the time definition of the…
We first state a special type of It\^o formula involving stochastic integrals of both standard and fractional Brownian motions. Then we use Doss-Sussman transformation to establish the link between backward doubly stochastic differential…