64 citations · 320 across the 79 of their papers we have counts for
6 papers · 1 filter
An Exponential Cox-Ingersoll-Ross Process as Discounting Factor
Julia Eisenberg, Yuliya Mishura
We consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maxi…
Replication of Wiener-transformable stochastic processes with application to financial markets with memory
Elena Boguslavskaya, Yuliya Mishura, Georgiy Shevchenko
We investigate Wiener-transformable markets, where the driving process is given by an adapted transformation of a Wiener process. This includes processes with long memory, like fra…
Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions
Yuliya Mishura, Kostiantyn Ralchenko, Sergiy Shklyar
The purpose of the article is twofold. Firstly, we review some recent results on the maximum likelihood estimation in the regression model of the form , where $B…
On (signed) Takagi-Landsberg functions: variation, maximum, and modulus of continuity
Yuliya Mishura, Alexander Schied
We study a class of signed Takagi-Landsberg functions with Hurst parameter . We first show that the functions in admit a linear $p^{\text…
Fractional Cox--Ingersoll--Ross process with non-zero <<mean>>
Yuliya Mishura, Anton Yurchenko-Tytarenko
In this paper we define the fractional Cox-Ingersoll-Ross process as , where the process satisfies the SDE of the…
Existence and uniqueness of mild solution to stochastic heat equation with white and fractional noises
Yuliya Mishura, Kostiantyn Ralchenko, Georgiy Shevchenko
We prove the existence and uniqueness of a mild solution for a class of non-autonomous parabolic mixed stochastic partial differential equations defined on a bounded open subset $D…