64 citations · 320 across the 79 of their papers we have counts for
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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…
On mean-variance hedging under partial observations and terminal wealth constraints
Vitalii Makogin, Alexander Melnikov, Yuliya Mishura
In the paper, a mean-square minimization problem under terminal wealth constraint with partial observations is studied. The problem is naturally connected to the mean-variance hedg…
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…