Stochastic analysis of mixed fractional Gaussian processes

DOI10.1016/C2017-0-00186-6zbMATH Open1455.60004MaRDI QIDQ4595037FDOQ4595037

Authors: Mounir Zili, Yuliya S. Mishura 

Publication date: 27 November 2017

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zbMATH Keywords

mixed fractional Gaussian processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Brownian motion (60J65) Stochastic analysis (60Hxx)

Cited In (23)

• Sojourn times of Gaussian processes with trend
• Gaussian Volterra processes with power-type kernels. I
• Estimates for exponential functionals of continuous Gaussian processes with emphasis on fractional Brownian motion
• Mixed stochastic heat equation with fractional Laplacian and gradient perturbation
• Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator
• Fractional processes and their statistical inference: an overview
• Stochastic analysis for Gaussian random processes and fields: with applications
• Editorial
• Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient
• Title not available (Why is that?)
• More on maximal inequalities for sub-fractional Brownian motion
• Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises
• Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
• Brownian motion, the Fredholm determinant, and time series analysis
• From rough to multifractal volatility: the log S-fBm model
• Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion
• Parameter estimation in mixed fractional stochastic heat equation
• Maximum likelihood estimation for sub-fractional Vasicek model
• The sub-fractional CEV model
• Nonparametric estimation of linear multiplier in SDEs driven by general Gaussian processes
• Stochastic heat equation with piecewise constant coefficients and generalized fractional type noise
• Two-step wavelet-based estimation for Gaussian mixed fractional processes
• Stable non-Gaussian self-similar processes with stationary increments

Uses Software

• Matlab

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