9 papers
Quasihelix properties of selected Volterra Gaussian processes
Yuliya Mishura, Kostiantyn Ralchenko
We study local quasihelix and generalized quasihelix properties of several Gaussian Volterra processes with tempered, power-weighted, and logarithmic kernels, including tempered fr…
Drift parameter estimation in the double mixed fractional Brownian model via solutions of Fredholm equations with singular kernels
Yuliya Mishura, Kostiantyn Ralchenko, Mykyta Yakovliev
We consider drift parameter estimation in a model driven by the sum of two independent fractional Brownian motions with different Hurst indices. Although the maximum likelihood est…
Parameter estimation of integrated fractional Brownian motion
Marco Mastrogiovanni, Yuliya Mishura, Stefania Ottaviano +2
Fractional Brownian motion (fBm) is a canonical model for long-memory phenomena. In the presence of large amounts of potentially memory-bearing data, the data are often averaged, w…
Data driven modeling of multiple interest rates with generalized Vasicek-type models
Pauliina Ilmonen, Milla Laurikkala, Kostiantyn Ralchenko +2
The Vasicek model is a commonly used interest rate model, and there exist many extensions and generalizations of it. However, most generalizations of the model are either univariat…
Differential Shannon and Rényi entropies revisited
Yuliya Mishura, Kostiantyn Ralchenko
Shannon entropy for discrete distributions is a fundamental and widely used concept, but its continuous analogue, known as differential entropy, lacks essential properties such as…
Gatheral double stochastic volatility model with Skorokhod reflection
Yuliya Mishura, Andrey Pilipenko, Kostiantyn Ralchenko
We investigate the Gatheral model of double mean-reverting stochastic volatility, in which the drift term itself follows a mean-reverting process, and the overall model exhibits me…