64 citations · 320 across the 79 of their papers we have counts for
4 papers · 1 filter
Standard and fractional reflected Ornstein-Uhlenbeck processes as the limits of square roots of Cox-Ingersoll-Ross processes
Yuliya Mishura, Anton Yurchenko-Tytarenko
In this paper, we establish a new connection between Cox-Ingersoll-Ross (CIR) and reflected Ornstein-Uhlenbeck (ROU) models driven by either a standard Wiener process or a fraction…
Parameter estimation in CKLS model by continuous observations
Yuliya Mishura, Kostiantyn Ralchenko, Olena Dehtiar
We consider a stochastic differential equation of the form , where , and are positive constants, . We study the esti…
Convexity and robustness of the Rényi entropy
Filipp Buryak, Yuliya Mishura
We study convexity properties of Rényi entropy as function of on finite alphabets. We also describe robustness of the Rényi entropy on finite alphabets, and it turns out that…
Divergence of an integral of a process with small ball estimate
Yuliya Mishura, Nakahiro Yoshida
The paper contains sufficient conditions on the function and the stochastic process that supply the rate of divergence of the integral functional at th…