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20132026
most citedEstimation of the Hurst parameter from continuous noisy data

4 citations · 4 across the 8 of their papers we have counts for

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Showing 2018 · math.PRShow all

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math.PR2018

Mixed fractional Brownian motion: a spectral take

P. Chigansky, M. Kleptsyna, D. Marushkevych

This paper provides yet another look at the mixed fractional Brownian motion (fBm), this time, from the spectral perspective. We derive an approximation for the eigenvalues of its…

math.PR2018

Exact spectral asymptotics of fractional processes

P. Chigansky, M. Kleptsyna, D. Marushkevych

Eigenproblems frequently arise in theory and applications of stochastic processes, but only a few have explicit solutions. Those which do, are usually solved by reduction to the ge…