2 papers
math.ST2026
Modified weighted power variations of the Hermite process and applications to integrated volatility
Antoine Ayache, laurent Loosveldt, Ciprian Tudor
We study the asymptotic behaviour of modified weighted power variations of the Hermite process of arbitrary order. By selecting suitable "good" increments and exploiting their deco…
math.PR2025
Numerical simulation of Generalized Hermite Processes
Antoine Ayache, Julien Hamonier, laurent Loosveldt
Hermite processes are paradigmatic examples of stochastic processes which can belong to any Wiener chaos of an arbitrary order; the wellknown fractional Brownian motion belonging t…