Ceren Vardar-Acar

activity

20092019

most citedThe

W, Z

scale functions kit for first passage problems of spectrally negative Levy processes, and applications to the optimization of dividends

25 citations · 35 across the 10 of their papers we have counts for

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Showing 2013Show all

2 papers · 1 filter

math.PR2013

Estimation of Hurst Parameter of Fractional Brownian Motion Using CMARS Method

Fatma Yerlikaya Ozkurt, Ceren Vardar Acar, Yeliz Yolcu Okur +1

In this study, we develop a new theory of estimating Hurst parame- ter using conic multivariate adaptive regression splines (CMARS) method. We concentrate on the strong solution of…

math.PR2013★ 1 cited

Bounds on the Expected Value of Maximum Loss of Fractional Brownian Motion

Ceren Vardar, Hatice Cakar

In this study, it is theoretically proven that the expected value of maximum loss of fractional Brownian motion (fBm) up to time 1 with Hurst parameter $[1/2, 1)$ is bounded above b…