Salwa Bajja

activity

20162019

collaborators

3 papers

math.PR2019

Volatility Estimation of General Gaussian Ornstein-Uhlenbeck Process

Salwa Bajja, Qian Yu

In this article we study the asymptotic behaviour of the realized quadratic variation of a process $\int_{0}^{t} u_{s} d G_{s}^{H}$ , where $u$ is a $β$ -Hölder continuous process with…

math.PR2018

Volatility estimation in fractional Ornstein-Uhlenbeck models

Salwa Bajja, Khalifa Es-Sebaiy, Lauri Viitasaari

In this article we study the asymptotic behaviour of the realized quadratic variation of a process $\int_{0}^{t} u_{s} d Y_{s}^{(1)}$ % , where $u$ is a $β$ -Hölder continuous process w…

math.PR2016

Least squares estimator of fractional Ornstein Uhlenbeck processes with periodic mean

Salwa Bajja, Khalifa Es-Sebaiy, Lauri Viitasaari

We first study the drift parameter estimation of the fractional Ornstein-Uhlenbeck process (fOU) with periodic mean for every $\frac{1}{2} < H < 1$ . More precisely, we extend the consi…