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20062024
most citedMixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions

64 citations · 320 across the 79 of their papers we have counts for

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Showing 2017 · math.PRShow all

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math.PR2017★ 1 cited

Stochastic representation and pathwise properties of fractional Cox-Ingersoll-Ross process

Yuliya Mishura, Vladimir I. Piterbarg, Kostiantyn Ralchenko +1

We consider the fractional Cox-Ingersoll-Ross process satisfying the stochastic differential equation (SDE) driven by a fractional Brownian…

math.PR2017★ 3 cited

Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility

Meriem Bel Hadj Khlifa, Yuliya Mishura, Kostiantyn Ralchenko +1

We consider a stochastic differential equation of the form \[dX_t=θa(t,X_t)\,dt+σ_1(t,X_t)σ_2(t,Y_t)\,dW_t\] with multiplicative stochastic volatility, where is some adapted st…