64 citations · 320 across the 79 of their papers we have counts for
6 papers · 2 filters
Fractional stochastic heat equation with piecewise constant coefficients
Yuliya Mishura, Kostiantyn Ralchenko, Mounir Zili +1
We introduce a fractional stochastic heat equation with second order elliptic operator in divergence form, having a piecewise constant diffusion coefficient, and driven by an infin…
Limit theorems for additive functionals of continuous time random walks
Yuri Kondratiev, Yuliya Mishura, Georgiy Shevchenko
For a continuous-time random walk (in general non-Markov), we study the asymptotic behavior, as , of the normalized additive functional $c_t…
Option pricing in fractional Heston-type model
Yuliya Mishura, Anton Yurchenko-Tytarenko
In this paper, we consider option pricing in a framework of the fractional Heston-type model with . As it is impossible to obtain an explicit formula for the expectation $\m…
Time-changed fractional Ornstein-Uhlenbeck process
Giacomo Ascione, Yuliya Mishura, Enrica Pirozzi
We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of…
Gaussian self-similar random fields with distinct stationary properties of their rectangular increments
Vitalii Makogin, Yuliya Mishura
We describe two classes of Gaussian self-similar random fields: with strictly stationary rectangular increments and with mild stationary rectangular increments. We find explicit sp…
Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics
Enkelejd Hashorva, Yuliya Mishura, Georgiy Shevchenko
We study boundary non-crossing probabilities for continuous centered Gaussian process indexed by…