1 citations · 2 across the 10 of their papers we have counts for
10 papers
On explosion time in stochastic differential equations driven by fractional Brownian motion
Johanna Garzon, Jorge A. Leon, Soledad Torres +2
In this article, we study the explosion time of the solution to autonomous stochastic differential equations driven by the fractional Brownian motion with Hurst parameter .…
Discretisation error for stochastic integrals with respect to the fractional Brownian motion with discontinuous integrands and local times
Valentin Garino, Lauri Viitasaari
We consider equidistant Riemann approximations of stochastic integrals with respect to the fractional Brownian motion with , where is an ar…
Geometric Characterization of the Eyring-Kramers Formula
Benny Avelin, Vesa Julin, Lauri Viitasaari
In this paper we consider the mean transition time of an over-damped Brownian particle between local minima of a smooth potential. When the minima and saddles are non-degenerate th…
Least squares estimator of fractional Ornstein Uhlenbeck processes with periodic mean
Salwa Bajja, Khalifa Es-Sebaiy, Lauri Viitasaari
We first study the drift parameter estimation of the fractional Ornstein-Uhlenbeck process (fOU) with periodic mean for every . More precisely, we extend the consi…
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian--fractional Brownian model
Ehsan Azmoodeh, Tommi Sottinen, Lauri Viitasaari
We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian--fractional Brownian model. In the semimartingale case, that is,…
Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
Lauri Viitasaari
Let be a standard Brownian motion. It is well-known that the Langevin equation defines a stationary process called Ornstein-Uhlenbeck process. Furt…