scientific article; zbMATH DE number 1808203
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Publication:3149666
zbMATH Open1008.60003MaRDI QIDQ3149666FDOQ3149666
Authors: Paul Embrechts, M. Maejima 
Publication date: 26 September 2002
Title of this publication is not available (Why is that?)
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- Lower bound for local oscillations of Hermite processes
- Universal spectral densities: white and Flicker noises
- Maxima of continuous-time stationary stable processes
- On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model
- The unusual properties of aggregated superpositions of Ornstein-Uhlenbeck type processes
- Time fractional stochastic differential equations driven by pure jump Lévy noise
- Probability distributions of extremes of self-similar Gaussian random fields
- Domain and range symmetries of operator fractional Brownian fields
- On fractional Lévy processes: tempering, sample path properties and stochastic integration
- Entropy measure of credit risk in highly correlated markets
- The modified Yule-Walker method for \(\alpha\)-stable time series models
- \(p\)th moment stability of fractional stochastic differential inclusions via resolvent operators driven by the Rosenblatt process and Poisson jumps with impulses
- A selective view of stochastic inference and modeling problems in nanoscale biophysics
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- A tour of inequality
- Uniform convergence rates of kernel-based nonparametric estimators for continuous time diffusion processes: a damping function approach
- Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models
- Time-changed extremal process as a random sup measure
- A comparison of Hurst exponent estimators in long-range dependent curve time series
- Exponents of operator self-similar random fields
- Intermittency of trawl processes
- Multi operator-stable random measures and fields
- Universal Poisson-process limits for general random walks
- Modeling and simulation with operator scaling
- Some path properties of weighted-fractional Brownian motion
- Regenerative processes in supercooled liquids and glasses
- Large deviation principle for Volterra type fractional stochastic volatility models
- Zooming in on a Lévy process at its supremum
- A time-fractional diffusion equation with space-time dependent hidden-memory variable order: analysis and approximation
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- Asymptotic behaviour of time averages for non-ergodic Gaussian processes
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- Self-similar processes, fractional Brownian motion and statistical inference
- Large deviations of realized volatility
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- Parameter estimation for operator scaling random fields
- Coupling of Wiener processes by using copulas
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- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
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- A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY
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- Location of the path supremum for self-similar processes with stationary increments
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- A fast method for variable-order space-fractional diffusion equations
- A Conversation With Paul Embrechts
- How rich is the class of processes which are infinitely divisible with respect to time?
- A strong uniform approximation of fractional Brownian motion by means of transport processes
- Operator scaling stable random fields
- Representation of stationary and stationary increment processes via Langevin equation and self-similar processes
- Benoît Mandelbrot and fractional Brownian motion
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- Modeling high-frequency order flow imbalance by functional limit theorems for two-sided risk processes
- Long range dependence in financial markets
- Stochastic integration for tempered fractional Brownian motion
- A class of asymptotically self-similar stable processes with stationary increments
- Infinite divisibility for stochastic processes and time change
- An approximation to the Rosenblatt process using martingale differences
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- Hölder properties of local times for fractional Brownian motions
- A new estimator of the self-similarity exponent through the empirical likelihood ratio test
- Stochastic volatility and multifractional Brownian motion
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- PRICING DERIVATIVES IN HERMITE MARKETS
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- Variations and estimators for self-similarity parameters via Malliavin calculus
- Gaussian moving averages, semimartingales and option pricing.
- On local slope estimation in partial linear models under Gaussian subordination
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- The fractional \(p\)-Laplacian evolution equation in \(\mathbb{R}^N\) in the sublinear case
- Central and non-central limit theorems in a free probability setting
- Detecting multifractal stochastic processes under heavy-tailed effects
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- A note on functional limit theorems for compound Cox processes
- Reinsurance control in a model with liabilities of the fractional Brownian motion type
- BOUNDS ON THE SUPPORT OF THE MULTIFRACTAL SPECTRUM OF STOCHASTIC PROCESSES
- The quadratic covariation for a weighted fractional Brownian motion
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