7 citations · 7 across the 4 of their papers we have counts for
4 papers
Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
Jan Gairing, Peter Imkeller, Radomyra Shevchenko +1
We consider the problem of Hurst index estimation for solutions of stochastic differential equations driven by an additive fractional Brownian motion. Using techniques of the Malli…
How close are time series to power tail Lévy diffusions?
Jan Gairing, Michael A. Högele, Tania Kosenkova +1
This article presents a new and easily implementable method to quantify the so-called coupling distance between the law of a time series and the law of a differential equation driv…
An invariance principle for the two-dimensional parabolic Anderson model with small potential
Khalil Chouk, Jan Gairing, Nicolas Perkowski
We prove an invariance principle for the two-dimensional lattice parabolic Anderson model with small potential. As applications we deduce a Donsker type convergence result for a di…
Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications
Jan Gairing, Michael Högele, Tetiana Kosenkova
This article assesses the distance between the laws of stochastic differential equations with multiplicative Lévy noise on path space in terms of their characteristics. The notion…