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5 papers · 2 filters
Behavior with respect to the Hurst index of the Wiener Hermite integrals and application to SPDEs
Meryem Slaoui, Ciprian A. Tudor
We consider the Wiener integral with respect to a -parameter Hermite process with Hurst multi-index and we…
Wavelet Series Representation and Geometric Properties of Harmonizable Fractional Stable Sheets
Antoine Ayache, Narn-Rueih Shieh, Yimin Xiao
Let be a real-valued -parameter harmonizable fractional stable sheet with index . We establish a random wavele…
Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean
Radomyra Shevchenko, Ciprian A. Tudor
We study the least squares estimator for the drift parameter of the Langevin stochastic equation driven by the Rosenblatt process. Using the techniques of the Malliavin calculus an…
Generalized -variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus
Radomyra Shevchenko, Meryem Slaoui, Ciprian A. Tudor
We analyze the generalized -variations for the solution to the wave equation driven by an additive Gaussian noise which behaves as a fractional Brownian with Hurst parameter $H>…
Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
Jan Gairing, Peter Imkeller, Radomyra Shevchenko +1
We consider the problem of Hurst index estimation for solutions of stochastic differential equations driven by an additive fractional Brownian motion. Using techniques of the Malli…