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4 papers · 2 filters
Higher order homogenization for random non-autonomous parabolic operators
Marina Kleptsyna, Andrey Piatnitski, Alexandre Popier
We consider Cauchy problem for a divergence form second order parabolic operator with rapidly oscillating coefficients that are periodic in spatial variables and random stationary…
Large deviations for drift parameter estimator of mixed fractional Ornstein--Uhlenbeck process
Dmytro Marushkevych
We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein--Uhlenbeck process driven by mixed fractional Brownian motion.
Quadratic Exponential Semimartingales and Application to BSDEs with jumps
Nicole El Karoui, Anis Matoussi, Armand Ngoupeyou
In this paper, we study a class of Quadratic Backward Stochastic Differential Equations (QBSDE in short) with jumps and unbounded terminal condition. We extend the class of quadrat…
Exact asymptotics in eigenproblems for fractional Brownian covariance operators
Pavel Chigansky, Marina Kleptsyna
Many results in the theory of Gaussian processes rely on the eigenstructure of the covariance operator. However, eigenproblems are notoriously hard to solve explicitly and closed f…