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20152026
most citedMaximum likelihood estimation in the non-ergodic fractional Vasicek model

6 citations · 9 across the 18 of their papers we have counts for

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math.PR2017★ 1 cited

Stochastic representation and pathwise properties of fractional Cox-Ingersoll-Ross process

Yuliya Mishura, Vladimir I. Piterbarg, Kostiantyn Ralchenko +1

We consider the fractional Cox-Ingersoll-Ross process satisfying the stochastic differential equation (SDE) driven by a fractional Brownian…