20 citations · 32 across the 6 of their papers we have counts for
Showing 2017Show all
2 papers · 1 filter
math.PR2017★ 20 cited
Generalized fractional Brownian motion
Mounir Zili
We introduce a new Gaussian process, a generalization of both fractional and subfractional Brownian motions, which could serve as a good model for a larger class of natural phenome…
math.PR2017★ 3 cited
Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility
Meriem Bel Hadj Khlifa, Yuliya Mishura, Kostiantyn Ralchenko +1
We consider a stochastic differential equation of the form \[dX_t=θa(t,X_t)\,dt+σ_1(t,X_t)σ_2(t,Y_t)\,dW_t\] with multiplicative stochastic volatility, where is some adapted st…