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math.ST2020★ 19 cited
Testing of fractional Brownian motion in a noisy environment
Michal Balcerek, Krzysztof Burnecki
Fractional Brownian motion (FBM) is the only Gaussian self-similar process with stationary increments. Its increment process, called fractional Gaussian noise, is ergodic and exhib…
math.ST2001
Annuities under random rates of interest - revisited
K. Burnecki, A. Marciniuk, A. Weron
In the article we consider accumulated values of annuities-certain with yearly payments with independent random interest rates. We focus on annuities with payments varying in arith…