Journal article

Approximation Of Random Variables By Functionals Of The Increments Of A Fractional Brownian Motion

Year:

2013

Published in:

Theory of Probability and Mathematical Statistics

Authors:

Fractional Brownian motion

Itô–Wiener expansion

an accuracy of approximation

A lower estimate is given for the accuracy of approximation of random variables by functionals of the increments of a fractional Brownian motion with Hurst index H>1/2.

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Other publications by

80 publications found

2017

Journal article

Wave Equation With A Coloured Stable Noise

Publisher: Random Operators and Stochastic Equations

Authors: Georgiy Shevchenko, Larysa Pryhara

2014

Book Chapter

On The Distribution Of Integral Functionals Of A Homogeneous Diffusion Process

Publisher: Bocconi & Springer Series

Authors: Georgiy Shevchenko, M. Perestyuk, Yulia Mishura

2011

Journal article

Anatolii Volodymyrovych Skorokhod (1930–2011)

Publisher: Stochastic Processes and their Applications

Authors: Georgiy Shevchenko, Volodymyr Korolyuk, Yuriy Kozachenko, Yulia Mishura, Halyna Syta

2021

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Boundary Non‑Crossing Probabilities Of Gaussian Processes: Sharp Bounds And Asymptotics

Publisher: Journal of Theoretical Probability

Authors: Georgiy Shevchenko, Enkelejd Hashorva, Yulia Mishura

2005

Journal article

Linear Equations And Stochastic Exponents In A Hilbert Space

Publisher: Theory of Probability and Mathematical Statistics

Authors: Georgiy Shevchenko, Yulia Mishura

2015

Journal article

Convergence Of Solutions Of Mixed Stochastic Delay Differential Equations With Applications

Publisher: Applied Mathematics and Computation

Authors: Georgiy Shevchenko, Yulia Mishura, Taras Shalaiko

2016

Journal article

Approximations For A Solution To Stochastic Heat Equation With Stable Noise

Publisher: Modern Stochastics: Theory and Applications

Authors: Georgiy Shevchenko, Larysa Pryhara

2011

Working paper

Fractional And Multifractional Models In Finance

Publisher: Taras Shevchenko National University of Kyiv

Authors: Georgiy Shevchenko

2022

Journal article

The Harmonic Mean Formula For Random Processes

Publisher: Stochastic Analysis and Applications

Authors: Georgiy Shevchenko, Enkelejd Hashorva, Krzysztof Bisewski

2020

Journal article

Limit Theorems For Additive Functionals Of Continuous Time Random Walks

Publisher: Proceedings of the Royal Society of Edinburgh: Section A Mathematics

Authors: Georgiy Shevchenko, Yuri M. Zhukov, Yulia Mishura