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math.PR2026
How smooth is the drift of the mixed fractional Brownian motion?
Pavel Chigansky, Marina Kleptsyna
The mixed fractional Brownian motion - the sum of independent fractional and standard Brownian motions - is known to be a semimartingale if the Hurst exponent of its fractional…
math.PR2024
Asymptotic analysis in problems with fractional processes
P. Chigansky, M. Kleptsyna
Some problems in the theory and applications of stochastic processes can be reduced to solving integral equations. While explicit solutions for these equations are often elusive, v…