64 citations · 320 across the 79 of their papers we have counts for
4 papers · 1 filter
Convergence of solutions of mixed stochastic delay differential equations with applications
Yuliya Mishura, Taras Shalaiko, Georgiy Shevchenko
The paper is concerned with a mixed stochastic delay differential equation involving both a Wiener process and a -Hölder continuous process with (e.g. a fractional Brown…
Ruin probability in a risk model with a variable premium intensity and risky investments
Yuliya Mishura, Mykola Perestyuk, Olena Ragulina
We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky ass…
Example of a Gaussian self-similar field with stationary rectangular increments that is not a fractional Brownian sheet
Vitalii Makogin, Yuliya Mishura
We consider anisotropic self-similar random fields, in particular, the fractional Brownian sheet. This Gaussian field is an extension of fractional Brownian motion. We prove some p…
Boundary Non-Crossings of Additive Wiener Fields
Enkelejd Hashorva, Yuliya Mishura
Let be two Wiener processes and be a two-parameter Brownian sheet, all three proc…