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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Real Harmonizable Multifractional Stable Process And Its Local Properties

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The Rate Of Convergence For Euler Approximations Of Solutions Of Stochastic Differential Equations Driven By Fractional Brownian Motion

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Authors: Georgiy Shevchenko, Yulia Mishura

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Working paper

Fractional Brownian Motion In A Nutshell

Publisher: arxiv

Authors: Georgiy Shevchenko

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Existence And Uniqueness Of Mild Solution To Stochastic Heat Equation With White And Fractional Noises

Publisher: arxiv

Authors: Georgiy Shevchenko, Kostiantyn Prontenko, Yulia Mishura

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Malliavin Regularity Of Solutions To Mixed Stochastic Differential Equations

Publisher: Statistics & Probability Letters

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On The Distribution Of Integral Functionals Of A Homogeneous Diffusion Process

Publisher: Bocconi & Springer Series

Authors: Georgiy Shevchenko, M. Perestyuk, Yulia Mishura