12 citations · 12 across the 4 of their papers we have counts for
4 papers · 1 filter
Limit behaviour of the minimal solution of a BSDE in the non Markovian setting
Dmytro Marushkevych, Alexandre Popier
We use the functional It{ô} calculus to prove that the solution of a BSDE with singular terminal condition is continuous at the terminal time. Hence we extend known results for a n…
Mixed fractional Brownian motion: a spectral take
P. Chigansky, M. Kleptsyna, D. Marushkevych
This paper provides yet another look at the mixed fractional Brownian motion (fBm), this time, from the spectral perspective. We derive an approximation for the eigenvalues of its…
Exact spectral asymptotics of fractional processes
P. Chigansky, M. Kleptsyna, D. Marushkevych
Eigenproblems frequently arise in theory and applications of stochastic processes, but only a few have explicit solutions. Those which do, are usually solved by reduction to the ge…
Large deviations for drift parameter estimator of mixed fractional Ornstein--Uhlenbeck process
Dmytro Marushkevych
We investigate large deviation properties of the maximum likelihood drift parameter estimator for Ornstein--Uhlenbeck process driven by mixed fractional Brownian motion.