64 citations · 320 across the 79 of their papers we have counts for
11 papers · 1 filter
Utility maximization in Wiener-transformable markets
Elena Boguslavskaya, Yuliya Mishura
We consider a utility maximization problem in a broad class of markets. Apart from traditional semimartingale markets, our class of markets includes processes with long memory, fra…
Constructing functions with prescribed pathwise quadratic variation
Yuliya Mishura, Alexander Schied
We construct rich vector spaces of continuous functions with prescribed curved or linear pathwise quadratic variations. We also construct a class of functions whose quadratic varia…
Pricing the European call option in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Exact formulas
Sergii Kuchuk-Iatsenko, Yuliya Mishura
We consider the Black--Scholes model of financial market modified to capture the stochastic nature of volatility observed at real financial markets. For volatility driven by the Or…
Small ball properties and representation results
Yuliya Mishura, Georgiy Shevchenko
We show that small ball estimates together with Holder continuity assumption allow to obtain new representation results in models with long memory. In order to apply these results,…
Construction of maximum likelihood estimator in the mixed fractional--fractional Brownian motion model with double long-range dependence
Yuliya Mishura, Ivan Voronov
We construct an estimator of the unknown drift parameter in the linear model \[X_t=θt+σ_1B^{H_1}(t)+σ_2B^{H_2}(t),\;t\in[0,T],\] where and a…
The rate of convergence to the normal law in terms of pseudomoments
Yuliya Mishura, Yevheniya Munchak, Petro Slyusarchuk
We establish the rate of convergence of distributions of sums of independent identically distributed random variables to the Gaussian distribution in terms of truncated pseudomomen…