2 citations · 4 across the 6 of their papers we have counts for
7 papers
Euler Scheme for Stochastic Functional Differential Equations Driven by Fractional Brownian Motion via Fractional Calculus Techniques
Alexander Abreu, Héctor Araya, Lisandro Fermin +2
We study a stochastic functional differential equation (SFDE) with memory driven by a fractional Brownian motion (fBm) with Hurst parameter H>1/2. An Euler-type numerical scheme is…
Spatio-Temporal Weighted Regression Model with Fractional-Colored Noise: Parameter estimation and consistency
Héctor Araya, Lisandro Fermín, Silfrido Gómez +2
Geographical and Temporal Weighted Regression (GTWR) model is an important local technique for exploring spatial heterogeneity in data relationships, as well as temporal dependence…
Generalized Hermite process: tempering, properties and applications
Héctor Araya
In this work, we introduce a new process by modifying the kernel in the time domain representation of the generalized Hermite process. This modification is constructed by means of…
Gamma mixed fractional Lévy Ornstein-Uhlenbeck process
Héctor Araya, Johanna Garzón, Rolando Rubilar
In this article, we introduce a non Gaussian long memory process constructed by the aggregation of independent copies of a fractional Lévy Ornstein-Uhlenbeck process with random co…
Numerical scheme for stochastic differential equations driven by fractional Brownian motion with 1/4 < H < 1/2
H. Araya, J. A. León, S. Torres
In this article, we study a numerical scheme for stochastic differential equations driven by fractional Brownian motion with Hurst parameter H in (1/4; 1/2). Towards this end, we a…
Parameter estimation for random sampled Regression Model with Long Memory Noise
Héctor Araya, Natalia Bahamonde, Lisandro Fermín +2
In this article, we present the least squares estimator for the drift parameter in a linear regression model driven by the increment of a fractional Brownian motion sampled at rand…