Kostiantyn Ralchenko
Kostiantyn Ralchenko
Bestätigte E-Mail-Adresse bei univ.kiev.ua - Startseite
Titel
Zitiert von
Zitiert von
Jahr
Parameter estimation in fractional diffusion models
K Kubilius, IUS Mishura, K Ralchenko
Springer, 2017
292017
Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index
K Kubilius, Y Mishura, K Ralchenko, O Seleznjev
Electronic Journal of Statistics 9 (2), 1799 - 1825, 2015
242015
Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process
A Kukush, Y Mishura, K Ralchenko
arXiv preprint arXiv:1604.02645, 2016
182016
Path properties of multifractal Brownian motion
K Ralchenko, G Shevchenko
Theory of Probability and Mathematical Statistics 80, 119 - 130, 2010
172010
On drift parameter estimation in models with fractional Brownian motion by discrete observations
Y Mishura, K Ralchenko
Austrian Journal of Statistics 43 (3-4), 217 - 228, 2014
162014
Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
Y Mishura, K Ralchenko, O Seleznev, G Shevchenko
Modern Stochastics and Applications, Volume 90 of Springer Optimization and …, 2014
152014
Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process
Y Mishura, V Piterbarg, K Ralchenko, A Yurchenko-Tytarenko
Theory of Probability and Mathematical Statistics 97, 167-182, 2018
14*2018
Two-parameter Garsia-Rodemich-Rumsey inequality and its application to fractional Brownian fields
K Ralchenko
Theory of Probability and Mathematical Statistics 75, 167 - 178, 2007
142007
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
M Dozzi, Y Kozachenko, Y Mishura, K Ralchenko
Statistical Inference for Stochastic processes 21 (1), 21-52, 2018
122018
Multifractional Poisson process, multistable subordinator and related limit theorems
I Molchanov, K Ralchenko
Statistics & Probability Letters 96, 95-101, 2015
122015
A generalisation of the fractional Brownian field based on non-Euclidean norms
I Molchanov, K Ralchenko
Journal of Mathematical Analysis and Applications 430 (1), 262-278, 2015
102015
The rate of convergence of the Hurst index estimate for a stochastic differential equation
K Kubilius, V Skorniakov, K Ralchenko
Nonlinear analysis: modelling and control 22 (2), 273-284, 2017
92017
Approximation of multifractional Brownian motion by absolutely continuous processes
K Ralchenko
Theory of Probability and Mathematical Statistics 82, 115 - 127, 2011
92011
Maximum likelihood estimation in the fractional Vasicek model
S Lohvinenko, K Ralchenko
Lithuanian Journal of Statistics 56 (1), 77-87, 2017
82017
Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises
Y Mishura, K Ralchenko, G Shevchenko
Theory of Probability and Mathematical Statistics 98, 149-170, 2019
72019
Asymptotic properties of parameter estimators in fractional Vasicek model
S Lohvinenko, K Ralchenko, O Zhuchenko
Lithuanian Journal of Statistics 55 (1), 102-111, 2016
72016
Fractional Brownian Motion
O Banna, Y Mishura, K Ralchenko, S Shklyar
Wiley-ISTE, 2019
52019
Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility
M Bel Hadj Khlifa, Y Mishura, K Ralchenko, M Zili
Modern Stochastics: Theory and Applications 3 (4), 269-285, 2016
42016
Maximum likelihood drift estimation for Gaussian process with stationary increments
Y Mishura, K Ralchenko, S Shklyar
arXiv preprint arXiv:1612.00160, 2016
42016
Fractional calculus and path-wise integration for Volterra processes driven by L\'evy and martingale noise
G Di Nunno, Y Mishura, K Ralchenko
arXiv preprint arXiv:1608.08466, 2016
42016
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