222 citations · 569 across the 70 of their papers we have counts for
6 papers · 1 filter
On the convergence to the multiple Wiener-Ito integral
Xavier Bardina, Maria Jolis, Ciprian Tudor
We study the convergence to the multiple Wiener-Itô integral from processes with absolutely continuous paths. More precisely, consider a family of processes, with paths in the Came…
Maximum likelihood estimators and random walks in long memory models
Karine Bertin, Soledad Torres, Ciprian Tudor
We consider statistical models driven by Gaussian and non-Gaussian self-similar processes with long memory and we construct maximum likelihood estimators (MLE) for the drift parame…
Central and non-central limit theorems for weighted power variations of fractional Brownian motion
Ivan Nourdin, David Nualart, Ciprian Tudor
In this paper, we prove some central and non-central limit theorems for renormalized weighted power variations of order q>=2 of the fractional Brownian motion with Hurst parameter…
Variations and estimators for the selfsimilarity order through Malliavin calculus
Ciprian Tudor, Frederi Viens
Using multiple stochastic integrals and the Malliavin calculus, we analyze the asymptotic behavior of quadratic variations for a specific non-Gaussian self-similar process, the Ros…
Multidimensional bifractional Brownian motion: Ito and Tanaka formulas
Ciprian Tudor, Khalifa Es-Sebaiy
Using the Malliavin calculus with respect to Gaussian processes and the multiple stochastic integrals we derive Itô's and Tanaka's formulas for the -dimensional bifractional Bro…
Donsker theorem for the Rosenblatt process and a binary market model
Ciprian Tudor, Soledad Torres
In this paper, we prove a Donsker type approximation theorem for the Rosenblatt process, which is a selfsimilar stochastic process exhibiting long range dependence. By using numeri…