3 papers
math.PR2020
Maximum likelihood estimation for mixed fractional Vasicek processes
Chunhao Cai, Yinzhong Huang, Weilin Xiao
The mixed fractional Vasicek model, which is an extended model of the traditional Vasicek model, has been widely used in modelling volatility, interest rate and exchange rate. Obvi…
math.PR2018
Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process
Chunhao Cai, Qinghua Wang, Weilin Xiao
In this paper, we will first give the numerical simulation of the sub-fractional Brownian motion through the relation of fractional Brownian motion instead of its representation of…
math.PR2017
Simulation of Integro-Differential Equation and Application in Estimation of Ruin Probability with Mixed Fractional Brownian Motion
Chunhao Cai, Weilin Xiao
In this paper, we are concerned with the numerical solution of one type integro-differential equation by a probability method based on the fundamental martingale of mixed Gaussian…