| Publication | Date of Publication | Type |
|---|
Gatheral double stochastic volatility model with Skorokhod reflection
Theory of Probability and Mathematical Statistics | 2025-11-27 | Paper |
| Entropies and fractionality. Entropy functionals, small deviations and related integral equations | 2025-11-21 | Paper |
Entropies of the Poisson distribution as functions of intensity: ``normal'' and ``anomalous'' behavior
Methodology and Computing in Applied Probability | 2025-06-25 | Paper |
Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
Journal of Theoretical Probability | 2025-06-20 | Paper |
Numerical approach to the drift parameter estimation in the model with two fractional Brownian motions
Communications in Statistics. Simulation and Computation | 2025-06-12 | Paper |
Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations
Theory of Probability and Mathematical Statistics | 2024-11-06 | Paper |
Properties of the entropic risk measure EVaR in relation to selected distributions
Modern Stochastics. Theory and Applications | 2024-10-24 | Paper |
Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model
Communications in Statistics. Theory and Methods | 2024-07-16 | Paper |
Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations
Modern Stochastics. Theory and Applications | 2024-04-30 | Paper |
Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises
Springer Proceedings in Mathematics & Statistics | 2024-03-16 | Paper |
Fractional diffusion Bessel processes with Hurst index \(H \in (0, \frac{1}{2})\)
Statistics & Probability Letters | 2024-02-13 | Paper |
Asymptotically normal estimation of parameters of mixed fractional Brownian motion
Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics | 2024-02-02 | Paper |
Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index
Fractional Calculus \ Applied Analysis | 2023-10-12 | Paper |
Strongly consistent estimation of all parameters in the Vasicek model by discrete observations
Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics | 2023-07-10 | Paper |
Parameter estimation in mixed fractional stochastic heat equation
Modern Stochastics. Theory and Applications | 2023-06-22 | Paper |
Gaussian Volterra processes: Asymptotic growth and statistical estimation
Theory of Probability and Mathematical Statistics | 2023-05-17 | Paper |
Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations
Communications in Statistics: Theory and Methods | 2022-09-14 | Paper |
| Analytical and computational problems related to fractional Gaussian noise | 2022-09-06 | Paper |
| Fractional Brownian motion. Approximations and projections | 2022-07-04 | Paper |
Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
Statistical Inference for Stochastic Processes | 2022-05-16 | Paper |
Parameter estimation in CKLS model by continuous observations
Statistics & Probability Letters | 2022-03-04 | Paper |
Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation
Theory of Probability and Mathematical Statistics | 2021-09-29 | Paper |
| Discrete-time approximations and limit theorems. In applications to financial markets | 2021-08-02 | Paper |
Fractional stochastic heat equation with piecewise constant coefficients
Stochastics and Dynamics | 2021-03-09 | Paper |
Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation
Modern Stochastics. Theory and Applications | 2021-01-14 | Paper |
Two methods of estimation of the drift parameters of the Cox-Ingersoll-Ross process: continuous observations
(available as arXiv preprint) | 2020-05-11 | Paper |
On mild and weak solutions for stochastic heat equations with piecewise-constant conductivity
Statistics & Probability Letters | 2020-04-15 | Paper |
Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
Theory of Probability and Mathematical Statistics | 2020-03-03 | Paper |
Maximum likelihood estimation in the non-ergodic fractional Vasicek model
Modern Stochastics. Theory and Applications | 2019-11-20 | Paper |
Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions
(available as arXiv preprint) | 2019-10-17 | Paper |
Existence and uniqueness of mild solution to fractional stochastic heat equation
Modern Stochastics. Theory and Applications | 2019-10-08 | Paper |
Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises
Theory of Probability and Mathematical Statistics | 2019-08-21 | Paper |
Maximum likelihood estimation for Gaussian process with nonlinear drift
Nonlinear Analysis: Modelling and Control | 2019-07-12 | Paper |
The rate of convergence of the Hurst index estimate for a stochastic differential equation
Nonlinear Analysis: Modelling and Control | 2019-07-12 | Paper |
Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process
Theory of Probability and Mathematical Statistics | 2019-03-05 | Paper |
Stochastic differential equations with generalized stochastic volatility and statistical estimators
Theory of Probability and Mathematical Statistics | 2018-10-10 | Paper |
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
Statistical Inference for Stochastic Processes | 2018-04-16 | Paper |
| Drift parameter estimation in the models involving fractional Brownian motion | 2018-03-08 | Paper |
Parameter estimation in fractional diffusion models
Bocconi & Springer Series | 2017-11-22 | Paper |
Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
Electronic Journal of Statistics | 2017-02-17 | Paper |
Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
Electronic Journal of Statistics | 2017-02-17 | Paper |
Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise
Fractional Calculus \ Applied Analysis | 2017-01-09 | Paper |
Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility
Modern Stochastics. Theory and Applications | 2017-01-05 | Paper |
| Maximum likelihood drift estimation for Gaussian process with stationary increments | 2016-12-01 | Paper |
Asymptotic normality of discretized maximum likelihood estimator for drift parameter in homogeneous diffusion model
Modern Stochastics. Theory and Applications | 2016-11-15 | Paper |
Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
Electronic Journal of Statistics | 2015-10-28 | Paper |
Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
Electronic Journal of Statistics | 2015-10-28 | Paper |
Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
Modern Stochastics and Applications | 2015-09-16 | Paper |
A generalisation of the fractional Brownian field based on non-Euclidean norms
Journal of Mathematical Analysis and Applications | 2015-06-12 | Paper |
Multifractional Poisson process, multistable subordinator and related limit theorems
Statistics & Probability Letters | 2015-04-01 | Paper |
Multifractional Poisson process, multistable subordinator and related limit theorems
Statistics & Probability Letters | 2015-04-01 | Paper |
Smooth approximations for fractional and multifractional fields
Random Operators and Stochastic Equations | 2013-06-06 | Paper |
Absolute continuous approximations for multifractal processes and fields
Dopovidi Natsional'noï Akademiï Nauk Ukraïny. Matematyka, Pryrodoznavstvo, Tekhnichni Nauky | 2012-07-16 | Paper |
Approximation of multifractional Brownian motion by absolutely continuous processes
Theory of Probability and Mathematical Statistics | 2012-02-19 | Paper |
Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations
Ukrainian Mathematical Journal | 2011-07-18 | Paper |
Path properties of multifractal Brownian motion
Theory of Probability and Mathematical Statistics | 2011-04-06 | Paper |
| Two-parameter inequality of Garcia-Rodemich-Rumsey and its application to fractional Brownian fields | 2009-02-28 | Paper |
Properties of the entropic risk measure EVaR in relation to selected distributions
(available as arXiv preprint) | N/A | Paper |
