2 citations · 2 across the 4 of their papers we have counts for
4 papers
A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
Francesco C. De Vecchi, Luca M. Giordano, Daniela Morale +1
Within the rough path framework we prove the continuity of the solution to random differential equations driven by fractional Brownian motion with respect to the Hurst parameter $H…
SPDEs with linear multiplicative fractional noise: continuity in law with respect to the Hurst index
Luca M. Giordano, Maria Jolis, Lluís Quer-Sardanyons
In this article, we consider the one-dimensional stochastic wave and heat equations driven by a linear multiplicative Gaussian noise which is white in time and behaves in space lik…
A fractional Brownian -- Hawkes model for the Italian electricity spot market: estimation and forecasting
Luca M. Giordano, Daniela Morale
We propose a model for the description and the forecast of the gross prices of electricity in the liberalized Italian energy market via an additive two-factor model driven by both…
SPDEs with fractional noise in space: continuity in law with respect to the Hurst index
Luca M. Giordano, Maria Jolis, Lluís Quer-Sardanyons
In this article, we consider the quasi-linear stochastic wave and heat equations on the real line and with an additive Gaussian noise which is white in time and behaves in space li…