31 citations · 137 across the 73 of their papers we have counts for
Showing 2015 · math.PRShow all
3 papers · 2 filters
math.PR2015
A smooth component of the fractional Brownian motion and optimal portfolio selection
Nikolai Dokuchaev
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 in…
math.PR2015
On the fractional stochastic integration for random non-smooth integrands
Nikolai Dokuchaev
The paper suggests a way of stochastic integration of random integrands with respect to fractional Brownian motion with the Hurst parameter H> 1/2. The integral is defined initiall…
math.PR2015
A pathwise inference method for the parameters of diffusion terms
Nikolai Dokuchaev
We consider inference of the parameters of the diffusion term for Cox-Ingersoll-Ross and similar processes with a power type dependence of the diffusion coefficient from the underl…