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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80 publications found

2017

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2014

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Publisher: Bocconi & Springer Series

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2011

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Fractional And Multifractional Models In Finance

Publisher: Taras Shevchenko National University of Kyiv

Authors: Georgiy Shevchenko

2015

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Convergence Of Solutions Of Mixed Stochastic Delay Differential Equations With Applications

Publisher: Applied Mathematics and Computation

Authors: Georgiy Shevchenko, Yulia Mishura, Taras Shalaiko

2011

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Publisher: Stochastic Processes and their Applications

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

2016

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Approximations For A Solution To Stochastic Heat Equation With Stable Noise

Publisher: Modern Stochastics: Theory and Applications

Authors: Georgiy Shevchenko, Larysa Pryhara

2017

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Хвильове Рівняння Зі Стійким Шумом

Publisher: Taras Shevchenko National University of Kyiv

Authors: Georgiy Shevchenko, Larysa Pryhara

2015

Journal article

Integral Representation With Respect To Fractional Brownian Motion Under A Log‑Hölder Assumption

Publisher: Modern Stochastics: Theory and Applications

Authors: Georgiy Shevchenko, Taras Shalaiko