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math.PR2025
How smooth is the drift of the mixed fractional Brownian motion?
Pavel Chigansky, Marina Kleptsyna
The mixed fractional Brownian motion - the sum of independent fractional and standard Brownian motions - is known to be a semimartingale if the Hurst exponent of its fractional…
math.ST2025
Asymptotic analysis of the finite predictor for fractional Gaussian noise
P. Chigansky, M. Kleptsyna
This paper proposes a new approach to the asymptotic analysis of the finite predictor for stationary sequences. Our method yields the exact asymptotics of both the relative predict…