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math.PR2025
Parameter estimation of integrated fractional Brownian motion
Marco Mastrogiovanni, Yuliya Mishura, Stefania Ottaviano +2
Fractional Brownian motion (fBm) is a canonical model for long-memory phenomena. In the presence of large amounts of potentially memory-bearing data, the data are often averaged, w…
math.PR2023★ 3 cited
Gaussian Volterra processes as models of electricity markets
Yuliya Mishura, Stefania Ottaviano, Tiziano Vargiolu
We introduce a non-Markovian model for electricity markets where the spot price of electricity is driven by several Gaussian Volterra processes, which can be e.g., fractional Brown…