44 citations · 177 across the 32 of their papers we have counts for
32 papers
How smooth is the drift of the mixed fractional Brownian motion?
Pavel Chigansky, Marina Kleptsyna
The mixed fractional Brownian motion - the sum of independent fractional and standard Brownian motions - is known to be a semimartingale if the Hurst exponent of its fractional…
Asymptotic analysis of the finite predictor for fractional Gaussian noise
P. Chigansky, M. Kleptsyna
This paper proposes a new approach to the asymptotic analysis of the finite predictor for stationary sequences. Our method yields the exact asymptotics of both the relative predict…
Asymptotic analysis in problems with fractional processes
P. Chigansky, M. Kleptsyna
Some problems in the theory and applications of stochastic processes can be reduced to solving integral equations. While explicit solutions for these equations are often elusive, v…
Estimation of the Hurst parameter from continuous noisy data
P. Chigansky, M. Kleptsyna
This paper addresses the problem of estimating the Hurst exponent of the fractional Brownian motion from continuous time noisy sample. Consistent estimation in the setup under cons…
Asymptotic accuracy in estimation of a fractional signal in a small white noise
M. Kleptsyna, D. Marushkevych, P. Chigansky
This paper revisits the problem of estimating the fractional Ornstein - Uhlenbeck process observed in a linear channel with white noise of small intensity. We drive the exact asymp…
Sharp asymptotics in a fractional Sturm-Liouville problem
P. Chigansky, M. Kleptsyna
The current research of fractional Sturm-Liouville boundary value problems focuses on the qualitative theory and numerical methods, and much progress has been recently achieved in…