3 papers
math.PR2021
On the inverse problem of fractional Brownian motion and the inverse of infinite Toeplitz matrices
Safari, Mukeru, Mmboniseni P +1
The inverse problem of fractional Brownian motion and other Gaussian processes with stationary increments involves inverting an infinite hermitian positively definite Toeplitz matr…
math.PR2021
Zeros of Gaussian power series, Hardy spaces and determinantal point processes
Safari Mukeru, Mmboniseni P. Mulaudzi
Given a sequence of standard i.i.d complex Gaussian random variables, Peres and Virág (in the paper ``Zeros of the i.i.d. Gaussian power series: a conformally invariant det…
math.PR2020
Generalisation of Fractional-Cox-Ingersoll-Ross Process
Marc Mukendi Mpanda, Safari Mukeru, Mmboniseni Mulaudzi
In this paper, we define a generalised fractional Cox-Ingersoll-Ross process as a square of singular stochastic differential equation with respect to fractional Brownian motion wit…