64 citations · 320 across the 79 of their papers we have counts for
89 papers
Properties of the Shannon, Rényi and other entropies: dependence in parameters, robustness in distributions and extremes
Iryna Bodnarchuk, Yuliya Mishura, Kostiantyn Ralchenko
We calculate and analyze various entropy measures and their properties for selected probability distributions. The entropies considered include Shannon, Rényi, generalized Rényi, T…
Driven by Brownian motion Cox-Ingersoll-Ross and squared Bessel processes: interaction and phase transition
Yuliya Mishura, Kostiantyn Ralchenko, Svitlana Kushnirenko
This paper studies two related stochastic processes driven by Brownian motion: the Cox-Ingersoll-Ross (CIR) process and the Bessel process. We investigate their shared and distinct…
Fractional Gaussian noise: Projections, prediction, norms
Iryna Bodnarchuk, Yuliya Mishura, Kostiantyn Ralchenko
We examine the one-sided and two-sided (bilateral) projections of an element of fractional Gaussian noise onto its neighboring elements. We establish several analytical results and…
Asymptotic properties of parameter estimators in Vasicek model driven by tempered fractional Brownian motion
Yuliya Mishura, Kostiantyn Ralchenko, Olena Dehtiar
The paper focuses on the Vasicek model driven by a tempered fractional Brownian motion. We derive the asymptotic distributions of the least-squares estimators (based on continuous-…
Properties of the entropic risk measure EVaR in relation to selected distributions
Yuliya Mishura, Kostiantyn Ralchenko, Petro Zelenko +1
Entropic Value-at-Risk (EVaR) measure is a convenient coherent risk measure. Due to certain difficulties in finding its analytical representation, it was previously calculated expl…
Gaussian Volterra processes as models of electricity markets
Yuliya Mishura, Stefania Ottaviano, Tiziano Vargiolu
We introduce a non-Markovian model for electricity markets where the spot price of electricity is driven by several Gaussian Volterra processes, which can be e.g., fractional Brown…