Prof.ssa Yuliya Mishura
Head of the Department of Probability Theory, Statistics and Actuarial Mathematics, Taras Shevchenko National University of Kyiv
Stochastic calculus for fractional processes: stochastic integration, stochastic differential equations
(Part II) We consider several advanced topics concerned with fractional Brownian motion (fBm): the behavior of maximal functionals for small values of Hurst index, integral representations with adapted integrand with respect to fBm, statistical inference for fBm-driven stochastic differential equations.
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