We study stationary processes given as solutions to stochastic differential equations driven by fractional Brownian motion. This rich class includes the fractional Ornstein-Uhlenbeck process and those processes that can be obtained from it by state spac
We investigate the asymptotic properties of the maximum likelihood estimator and Bayes estimator of ...
Abstract. In this paper we study the existence and uniqueness of a class of stochastic differential ...
The first part of this thesis studies tail probabilities forelliptical distributions and probabiliti...
We introduce a class of stochastic differential equations driven by fractional Brownian motion which...
AbstractWe prove a stochastic maximum principle for controlled processes X(t)=X(u)(t) of the formdX(...
We investigate the general problem of estimating the translation of a stochastic process governed by...
We investigate the asymptotic properties of the sequential maximum likelihhod estimator of the drift...
Abstract The classical stationary Ornstein-Uhlenbeck process can be obtained in two different ways. ...
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift...
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift...
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
We investigate the asymptotic properties of the sequential maximum likelihood estimator of the drift...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
We investigate the asymptotic properties of the maximum likelihood estimator and Bayes estimator of ...
Abstract. In this paper we study the existence and uniqueness of a class of stochastic differential ...
The first part of this thesis studies tail probabilities forelliptical distributions and probabiliti...
We introduce a class of stochastic differential equations driven by fractional Brownian motion which...
AbstractWe prove a stochastic maximum principle for controlled processes X(t)=X(u)(t) of the formdX(...
We investigate the general problem of estimating the translation of a stochastic process governed by...
We investigate the asymptotic properties of the sequential maximum likelihhod estimator of the drift...
Abstract The classical stationary Ornstein-Uhlenbeck process can be obtained in two different ways. ...
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift...
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift...
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
We investigate the asymptotic properties of the sequential maximum likelihood estimator of the drift...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
We investigate the asymptotic properties of the maximum likelihood estimator and Bayes estimator of ...
Abstract. In this paper we study the existence and uniqueness of a class of stochastic differential ...
The first part of this thesis studies tail probabilities forelliptical distributions and probabiliti...
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