222 citations · 569 across the 70 of their papers we have counts for
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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 .…
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…
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…
Modified wavelet variation for the Hermite processes
Laurent Loosveldt, Ciprian A. Tudor
We define an asymptotically normal wavelet-based strongly consistent estimator for the Hurst parameter of any Hermite processes. This estimator is obtained by considering a modifie…