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20162026
most citedLarge deviations for drift parameter estimator of mixed fractional Ornstein--Uhlenbeck process

12 citations · 26 across the 9 of their papers we have counts for

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math.PR2018★ 9 cited

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…

math.PR2018★ 4 cited

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…