15 citations · 19 across the 2 of their papers we have counts for
4 papers · 1 filter
Stratonovich SDE with irregular coefficients: Girsanov's example revisited
Ilya Pavlyukevich, Georgiy Shevchenko
In this paper we study the Stratonovich stochastic differential equation , , which has been introduced by Cherstvy et al. [New Jour…
Existence and uniqueness of mild solution to fractional stochastic heat equation
Kostiantyn Ralchenko, Georgiy Shevchenko
For a class of non-autonomous parabolic stochastic partial differential equations defined on a bounded open subset and driven by an -valued fractio…
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…
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…