3 papers
math.PR2026
Parameter Estimation for Complex α-Fractional Brownian Bridge
Yong Chen, Lin Fang, Ying Li +1
We study the statistical inference problem for a complex -fractional Brownian bridge process defined by the stochastic differential equation \[ \mathrm{d}Z_t = -α\frac{Z_t}{…
q-fin.RM2025
Modeling Excess Mortality and Interest Rates using Mixed Fractional Brownian Motions
Kenneth Q. Zhou, Hongjuan Zhou
Recent studies have identified long-range dependence as a key feature in the dynamics of both mortality and interest rates. Building on this insight, we develop a novel bi-variate…
math.PR2024
Parameter Estimation for the Complex Fractional Ornstein-Uhlenbeck Processes with Hurst parameter H \in (0, 1/2)
Fares Alazemi, Abdulaziz Alsenafi, Yong Chen +1
We study the strong consistency and asymptotic normality of a least squares estimator of the drift coefficient in complex-valued Ornstein-Uhlenbeck processes driven by fractional B…