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math.PR2024
On explosion time in stochastic differential equations driven by fractional Brownian motion
Johanna Garzon, Jorge A. Leon, Soledad Torres +2
In this article, we study the explosion time of the solution to autonomous stochastic differential equations driven by the fractional Brownian motion with Hurst parameter .…
math.PR2024
The spatial average of solutions to SPDEs is asymptotically independent of the solution
Ciprian A Tudor, Jérémy Zurcher
Let be the solution to the stochastic heat or wave equation driven by a Gaussian noise which is white in time and white or correla…
math.PR2024
Asymptotic expansion of the drift estimator for the fractional Ornstein-Uhlenbeck process
Ciprian A. Tudor, Nakahiro Yoshida
We present an asymptotic expansion formula of an estimator for the drift coefficient of the fractional Ornstein-Uhlenbeck process. As the machinery, we apply the general expansion…