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1

[Lecture Notes in Mathematics] Stochastic Calculus for Fractional Brownian Motion and Related Processes Volume 1929 || || Front_matter

Mishura, Yuliya S.

Year:

2008

Language:

english

File:

PDF, 197 KB

english, 2008

2

High-frequency trading with fractional Brownian motion

Guasoni, Paolo, Mishura, Yuliya, RÃ¡sonyi, MiklÃ³s

Journal:

Finance and Stochastics

Year:

2020

File:

PDF, 1009 KB

2020

3

Fractional stochastic integration and Black-Scholes equation for fractional Brownian model with stochastic volatility

Mishura, Yuliya

Journal:

Stochastics and Stochastics Reports

Year:

2004

Language:

english

File:

PDF, 234 KB

english, 2004

4

The rate of convergence of option prices on the asset following a geometric Ornstein–Uhlenbeck process

Mishura, Yuliya

Journal:

Lithuanian Mathematical Journal

Year:

2015

Language:

english

File:

PDF, 223 KB

english, 2015

5

Theory and Statistical Applications of Stochastic Processes || Regularity of Trajectories of Stochastic Processes

Mishura, Yuliya, Shevchenko, Georgiy

Year:

2017

Language:

english

File:

PDF, 360 KB

english, 2017

6

Martingale transforms and Girsanov theorem for long-memory Gaussian processes

Yuliya Mishura, Esko Valkeila

Journal:

Statistics & Probability Letters

Year:

2001

Language:

english

File:

PDF, 134 KB

english, 2001

7

[Springer Optimization and Its Applications] Modern Stochastics and Applications Volume 90 ||

Korolyuk, Volodymyr, Limnios, Nikolaos, Mishura, Yuliya, Sakhno, Lyudmyla, Shevchenko, Georgiy

Year:

2014

Language:

english

File:

PDF, 2.95 MB

english, 2014

8

Theory and Statistical Applications of Stochastic Processes || Construction, Properties and Some Functionals of the Wiener Process and Fractional Brownian Motion

Mishura, Yuliya, Shevchenko, Georgiy

Year:

2017

Language:

english

File:

PDF, 314 KB

english, 2017

9

Theory and Statistical Applications of Stochastic Processes || Stochastic Processes. General Properties. Trajectories, Finite-dimensional Distributions

Mishura, Yuliya, Shevchenko, Georgiy

Year:

2017

Language:

english

File:

PDF, 304 KB

english, 2017

10

Theory and Statistical Applications of Stochastic Processes || Parameter Estimation

Mishura, Yuliya, Shevchenko, Georgiy

Year:

2017

Language:

english

File:

PDF, 304 KB

english, 2017

11

Stochastic Analysis of Mixed Fractional Gaussian Processes || Mixed Fractional and Mixed Sub-fractional Brownian Motions

Mishura, Yuliya

Year:

2018

Language:

english

File:

PDF, 616 KB

english, 2018

12

Fractional Brownian Motion (Approximations and Projections) || Solutions

Banna, Oksana, Mishura, Yuliya, Ralchenko, Kostiantyn, Shklyar, Sergiy

Year:

2019

Language:

english

File:

PDF, 122 KB

english, 2019

13

Fractional Brownian Motion (Approximations and Projections) ||

Banna, Oksana, Mishura, Yuliya, Ralchenko, Kostiantyn, Shklyar, Sergiy

Year:

2019

Language:

english

File:

PDF, 2.91 MB

english, 2019

14

Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics

Androshchuk, Taras, Mishura, Yuliya

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2006

Language:

english

File:

PDF, 232 KB

english, 2006

15

On hedging European options in geometric fractional Brownian motion market model

Azmoodeh, Ehsan, Mishura, Yuliya, Valkeila, Esko

Journal:

Statistics & Decisions

Year:

2009

Language:

english

File:

PDF, 153 KB

english, 2009

16

Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion

Mishura, Yuliya S., Shevchenko, Georgiy M.

Journal:

Random Operators and Stochastic Equations

Year:

2011

Language:

english

File:

PDF, 260 KB

english, 2011

17

AN EXTENSION OF THE LÉVY CHARACTERIZATION TO FRACTIONAL BROWNIAN MOTION

Yuliya Mishura and Esko Valkeila

Journal:

The Annals of Probability

Year:

2011

Language:

english

File:

PDF, 1.42 MB

english, 2011

18

Ruin Probabilities || Optimal Control by the Franchise and Deductible Amounts in the Classical Risk Model

Mishura, Yuliya

Year:

2016

Language:

english

File:

PDF, 1.60 MB

english, 2016

19

Ruin Probabilities || Risk Models with Investments in Risk-Free and Risky Assets

Mishura, Yuliya

Year:

2016

Language:

english

File:

PDF, 1.68 MB

english, 2016

20

[Bocconi & Springer Series] Parameter Estimation in Fractional Diffusion Models Volume 8 || Estimation of the Hurst Index from the Solution of a Stochastic Differential Equation

Kubilius, Kęstutis, Mishura, Yuliya, Ralchenko, Kostiantyn

Year:

2017

Language:

english

File:

PDF, 864 KB

english, 2017

21

[Bocconi & Springer Series] Parameter Estimation in Fractional Diffusion Models Volume 8 || Parameter Estimation in the Mixed Models via Power Variations

Kubilius, Kęstutis, Mishura, Yuliya, Ralchenko, Kostiantyn

Year:

2017

Language:

english

File:

PDF, 392 KB

english, 2017

22

[Bocconi & Springer Series] Parameter Estimation in Fractional Diffusion Models Volume 8 || The Hurst Index Estimators for a Fractional Brownian Motion

Kubilius, Kęstutis, Mishura, Yuliya, Ralchenko, Kostiantyn

Year:

2017

Language:

english

File:

PDF, 389 KB

english, 2017

23

[Bocconi & Springer Series] Parameter Estimation in Fractional Diffusion Models Volume 8 || Description and Properties of the Basic Stochastic Models

Kubilius, Kęstutis, Mishura, Yuliya, Ralchenko, Kostiantyn

Year:

2017

Language:

english

File:

PDF, 506 KB

english, 2017

24

[Bocconi & Springer Series] Parameter Estimation in Fractional Diffusion Models Volume 8 || Drift Parameter Estimation in Diffusion and Fractional Diffusion Models

Kubilius, Kęstutis, Mishura, Yuliya, Ralchenko, Kostiantyn

Year:

2017

Language:

english

File:

PDF, 1.23 MB

english, 2017

25

[Bocconi & Springer Series] Parameter Estimation in Fractional Diffusion Models Volume 8 ||

Kubilius, Kęstutis, Mishura, Yuliya, Ralchenko, Kostiantyn

Year:

2017

Language:

english

File:

PDF, 4.97 MB

english, 2017

26

New and refined bounds for expected maxima of fractional Brownian motion

Borovkov, Konstantin, Mishura, Yuliya, Novikov, Alexander, Zhitlukhin, Mikhail

Journal:

Statistics & Probability Letters

Year:

2018

Language:

english

File:

PDF, 298 KB

english, 2018

27

Stochastic Analysis of Mixed Fractional Gaussian Processes || Fractional and Sub-fractional Brownian Motions

Mishura, Yuliya

Year:

2018

Language:

english

File:

PDF, 357 KB

english, 2018

28

Fractional stochastic heat equation with piecewise constant coefficients

Mishura, Yuliya, Ralchenko, Kostiantyn, Zili, Mounir, Zougar, Eya

Journal:

Stochastics and Dynamics

Year:

2020

File:

PDF, 445 KB

2020

29

On pricing and hedging in financial markets with long-range dependence

Alexander Melnikov, Yuliya Mishura

Journal:

Mathematics and Financial Economics

Year:

2011

Language:

english

File:

PDF, 239 KB

english, 2011

30

Anatolii Volodymyrovych Skorokhod (1930–2011)

Volodymyr Korolyuk, Yuriy Kozachenko, Yuliya Mishura, Georgiy Shevchenko, Halyna Syta

Journal:

Stochastic Processes and their Applications

Year:

2012

Language:

english

File:

PDF, 907 KB

english, 2012

31

Mixed stochastic differential equations with long-range dependence: Existence, uniqueness and convergence of solutions

Mishura, Yuliya, Shevchenko, Georgiy

Journal:

Computers & Mathematics with Applications

Year:

2012

Language:

english

File:

PDF, 257 KB

english, 2012

32

[Problem Books in Mathematics] Theory of Stochastic Processes ||

Gusak, Dmytro, Kukush, Alexander, Kulik, Alexey, Mishura, Yuliya, Pilipenko, Andrey

Year:

2010

Language:

english

File:

PDF, 3.47 MB

english, 2010

33

[Problem Books in Mathematics] Theory of Stochastic Processes || Definition of stochastic process. Cylinder σ-algebra, finite-dimensional distributions, the Kolmogorov theorem

Gusak, Dmytro, Kukush, Alexander, Kulik, Alexey, Mishura, Yuliya, Pilipenko, Andrey

Year:

2010

Language:

english

File:

PDF, 367 KB

english, 2010

34

Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations

Melnikov, Alexander, Mishura, Yuliya, Shevchenko, Georgiy

Journal:

Methodology and Computing in Applied Probability

Year:

2015

Language:

english

File:

PDF, 530 KB

english, 2015

35

[Springer Optimization and Its Applications] Modern Stochastics and Applications Volume 90 || Some Functional Analytic Tools for Utility Maximization

Korolyuk, Volodymyr, Limnios, Nikolaos, Mishura, Yuliya, Sakhno, Lyudmyla, Shevchenko, Georgiy

Year:

2014

Language:

english

File:

PDF, 293 KB

english, 2014

36

[Springer Optimization and Its Applications] Modern Stochastics and Applications Volume 90 || Comparing Brownian Stochastic Integrals for the Convex Order

Korolyuk, Volodymyr, Limnios, Nikolaos, Mishura, Yuliya, Sakhno, Lyudmyla, Shevchenko, Georgiy

Year:

2014

Language:

english

File:

PDF, 233 KB

english, 2014

37

Editorial

Limnios, Nikolaos, Mishura, Yuliya, Sakhno, Lyudmyla

Journal:

Methodology and Computing in Applied Probability

Year:

2015

Language:

english

File:

PDF, 117 KB

english, 2015

38

[Lecture Notes in Mathematics] Stochastic Calculus for Fractional Brownian Motion and Related Processes Volume 1929 ||

Mishura, Yuliya S.

Year:

2008

Language:

english

File:

PDF, 197 KB

english, 2008

39

Random variables as pathwise integrals with respect to fractional Brownian motion

Mishura, Yuliya, Shevchenko, Georgiy, Valkeila, Esko

Journal:

Stochastic Processes and their Applications

Year:

2013

Language:

english

File:

PDF, 243 KB

english, 2013

40

Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent

Mishura, Yuliya

Journal:

Statistics & Probability Letters

Year:

2014

Language:

english

File:

PDF, 357 KB

english, 2014

41

Boundary noncrossings of additive Wiener fields∗

Enkelejd Hashorva,Yuliya Mishura

Journal:

Lithuanian Mathematical Journal

Year:

2014

Language:

english

File:

PDF, 195 KB

english, 2014

42

Preface

Mishura, Yuliya, Sakhno, Lyudmyla, Shevchenko, Georgiy

Journal:

Communication in Statistics- Theory and Methods

Year:

2011

Language:

english

File:

PDF, 70 KB

english, 2011

43

Dividend Barrier Strategies in A Renewal Risk Model with Generalized Erlang Interarrival Times

Mishura, Yuliya, Schmidli, Hanspeter

Journal:

North American Actuarial Journal

Year:

2012

Language:

english

File:

PDF, 330 KB

english, 2012

44

Asymptotic behavior of mixed power variations and statistical estimation in mixed models

Dozzi, Marco, Mishura, Yuliya, Shevchenko, Georgiy

Journal:

Statistical Inference for Stochastic Processes

Year:

2015

Language:

english

File:

PDF, 307 KB

english, 2015

45

Convergence of solutions of mixed stochastic delay differential equations with applications

Mishura, Yuliya, Shalaiko, Taras, Shevchenko, Georgiy

Journal:

Applied Mathematics and Computation

Year:

2015

Language:

english

File:

PDF, 418 KB

english, 2015

46

The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion

Mishura, Yuliya S., Posashkova, Svitlana V.

Journal:

Random Operators and Stochastic Equations

Year:

2011

Language:

english

File:

PDF, 281 KB

english, 2011

47

Example of a Gaussian Self-Similar Field With Stationary Rectangular Increments That Is Not a Fractional Brownian Sheet

Makogin, Vitalii, Mishura, Yuliya

Journal:

Stochastic Analysis and Applications

Year:

2015

Language:

english

File:

PDF, 125 KB

english, 2015

48

Fractional Lévy Processes as a Result of Compact Interval Integral Transformation

Tikanmäki, Heikki, Mishura, Yuliya

Journal:

Stochastic Analysis and Applications

Year:

2011

Language:

english

File:

PDF, 291 KB

english, 2011

49

Bounds for expected maxima of Gaussian processes and their discrete approximations

Borovkov, Konstantin, Mishura, Yuliya, Novikov, Alexander, Zhitlukhin, Mikhail

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2015

Language:

english

File:

PDF, 1.51 MB

english, 2015

50

Boundary non-crossing probabilities for fractional Brownian motion with trend

Hashorva, Enkelejd, Mishura, Yuliya, Seleznjev, Oleg

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2015

Language:

english

File:

PDF, 507 KB

english, 2015