12 citations · 12 across the 11 of their papers we have counts for
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Entropy of Wiener integrals with respect to fractional Brownian motion
Iryna Bodnarchuk, Yuliya Mishura, Kostiantyn Ralchenko
The paper is devoted to the properties of the entropy of the exponent-Wiener-integral fractional Gaussian process (EWIFG-process), that is a Wiener integral of the exponent with re…
Entropies of the Poisson distribution as functions of intensity: "normal" and "anomalous" behavior
Dmitri Finkelshtein, Anatoliy Malyarenko, Yuliya Mishura +1
The paper extends the analysis of the entropies of the Poisson distribution with parameter . It demonstrates that the Tsallis and Sharma-Mittal entropies exhibit monotonic behav…
Fractional Gaussian noise: Projections, prediction, norms
Iryna Bodnarchuk, Yuliya Mishura, Kostiantyn Ralchenko
We examine the one-sided and two-sided (bilateral) projections of an element of fractional Gaussian noise onto its neighboring elements. We establish several analytical results and…
Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
Kostiantyn Ralchenko, Foad Shokrollahi, Tommi Sottinen
We establish the rate of convergence in the -norm for equidistant approximations of stochastic integrals with discontinuous integrands driven by multifractional Brownian motio…
Fractional diffusion Bessel processes with Hurst index
Yuliya Mishura, Kostiantyn Ralchenko
We introduce fractional diffusion Bessel process with Hurst index , derive a stochastic differential equation for it, and study the asymptotic properties of its sa…
Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index
Anatoliy Malyarenko, Yuliya Mishura, Kostiantyn Ralchenko +1
This paper is devoted to the study of the properties of entropy as a function of the Hurst index, which corresponds to the fractional Gaussian noise. Since the entropy of the Gauss…