Add to ORKGAbstract. Let {bH (t), t ∈ R} be the fractional Brownian motion with parameter 0 <H < 1. When 1/2 <H, we consider diffusion equations of the type X(t) = c + ∫ t 0
In this note we consider generalised diffusion equations in which the diffusivity coefficient is not...
AbstractIn this note, a diffusion approximation result is shown for stochastic differential equation...
In this chapter, we consider a problem of statistical estimation of an unknown drift parameter for a...
Classification: 60F05; 60G15; 60G18; 60H10; 62F03; 62F12; 33C45International audienceLet $\{b_{H}(t)...
This book is devoted to a number of stochastic models that display scale invariance. It primarily fo...
33 pages, 2 figures.International audienceBased on Malliavin calculus tools and approximation result...
International audienceThe use of diffusion models driven by fractional noise has become popular for ...
We consider the problem of Hurst index estimation for solutions of stochastic differential equations...
This article investigates several properties related to densities of solutions (Xt)t∈[0,1] to differ...
<div class="page" title="Page 1"><div class="layoutArea"><div class="column"><p><span>We study a pro...
We study fast / slow systems driven by a fractional Brownian motion B with Hurst parameter H∈(13,1]....
In my talk I will discuss so-called “mixed ” models involving fractional Brownian motion and Wiener ...
International audienceLet {bH(t),t∈R} be a fractional Brownian motion with parameter 0 < H < 1...
We consider a problem of statistical estimation of an unknown drift parameter for a stochastic diff...
International audienceFirst we state the almost sure convergence for the $k$-power second order incr...
In this note we consider generalised diffusion equations in which the diffusivity coefficient is not...
AbstractIn this note, a diffusion approximation result is shown for stochastic differential equation...
In this chapter, we consider a problem of statistical estimation of an unknown drift parameter for a...
Classification: 60F05; 60G15; 60G18; 60H10; 62F03; 62F12; 33C45International audienceLet $\{b_{H}(t)...
This book is devoted to a number of stochastic models that display scale invariance. It primarily fo...
33 pages, 2 figures.International audienceBased on Malliavin calculus tools and approximation result...
International audienceThe use of diffusion models driven by fractional noise has become popular for ...
We consider the problem of Hurst index estimation for solutions of stochastic differential equations...
This article investigates several properties related to densities of solutions (Xt)t∈[0,1] to differ...
<div class="page" title="Page 1"><div class="layoutArea"><div class="column"><p><span>We study a pro...
We study fast / slow systems driven by a fractional Brownian motion B with Hurst parameter H∈(13,1]....
In my talk I will discuss so-called “mixed ” models involving fractional Brownian motion and Wiener ...
International audienceLet {bH(t),t∈R} be a fractional Brownian motion with parameter 0 < H < 1...
We consider a problem of statistical estimation of an unknown drift parameter for a stochastic diff...
International audienceFirst we state the almost sure convergence for the $k$-power second order incr...
In this note we consider generalised diffusion equations in which the diffusivity coefficient is not...
AbstractIn this note, a diffusion approximation result is shown for stochastic differential equation...
In this chapter, we consider a problem of statistical estimation of an unknown drift parameter for a...