Filipp Buryak

most citedDistance from fractional Brownian motion with associated Hurst index

0 < H < 1/2

to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent

1 citations · 1 across the 1 of their papers we have counts for

collaborators

2 papers

math.PR2021

Convexity and robustness of the Rényi entropy

Filipp Buryak, Yuliya Mishura

We study convexity properties of Rényi entropy as function of $α > 0$ on finite alphabets. We also describe robustness of the Rényi entropy on finite alphabets, and it turns out that…

math.PR2020★ 1 cited

Distance from fractional Brownian motion with associated Hurst index $0 < H < 1/2$ to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent

Oksana Banna, Filipp Buryak, Yuliya Mishura

We find the best approximation of the fractional Brownian motion with the Hurst index $H \in (0, 1/2)$ by Gaussian martingales of the form $\int_{0}^{t} s^{γ} d W_{s}$ , where $W$ is a Wiener p…

Convexity and robustness of the Rényi entropy

Distance from fractional Brownian motion with associated Hurst index 0<H<1/2 to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent

Distance from fractional Brownian motion with associated Hurst index $0 < H < 1/2$ to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent