27 citations · 74 across the 10 of their papers we have counts for
11 papers
Large time behavior of semilinear stochastic partial differential equations perturbed by a mixture of Brownian and fractional Brownian motions
Marco Dozzi, Ekaterina T. Kolkovska, José A. López-Mimbela +1
We study the trajectorywise blowup behavior of a semilinear partial differential equation that is driven by a mixture of multiplicative Brownian and fractional Brownian motion, mod…
Partial differential equations associated to non linear backward stochastic differential equations with Gaussian Volterra processes
Habiba Knani
In this paper, we generalize to Gaussian Volterra processes the existence and uniqueness of solutions for a class of non linear backward stochastic differential equations (BSDE) an…
Linear Backward Stochastic Differential Equations with Gaussian Volterra processes
Habiba Knani, Marco Dozzi
Explicit solutions for a class of linear backward stochastic differential equations (BSDE) driven by Gaussian Volterra processes are given. These processes include the multifractio…
Global variational solutions to a class of fractional spde's on unbounded domains
Marco Dozzi, Rim Touibi, Pierre-A Vuillermot
In this article we prove new results regarding the existence and the uniqueness of global variational solutions to Neumann initial-boundary value problems for a class of non-autono…
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
Marco Dozzi, Yuriy Kozachenko, Yuliya Mishura +1
We construct the least-square estimator for the unknown drift parameter in the multifractional Ornstein-Uhlenbeck model and establish its strong consistency in the non-ergodic case…
Asymptotic behavior of mixed power variations and statistical estimation in mixed models
Marco Dozzi, Yuliya Mishura, Georgiy Shevchenko
We obtain results on both weak and almost sure asymptotic behaviour of power variations of a linear combination of independent Wiener process and fractional Brownian motion. These…