Add to ORKGWe present here an application of the results on simulation of weakly self-similar stationary increment φ-sub-Gaussian processes, obtained by Kozachenko, Sottinen and Vasylyk in [1], to the process of fractional Brownian motion
We consider the problem of approximation of value functions for controlled possibly degenerated diff...
For the stochastic partial differential equation $\frac{\partial u}{\partial t}=\mathcal L u +u\dot...
AbstractThe goal of this paper is to show that under some assumptions, for a d-dimensional fractiona...
Random processes from the class V (φ, ψ) which is more general than the class of ψ-sub-Gaussian rand...
A theorem about simulation of a Gaussian stochastic process with given accuracy and reliability in L...
In this paper we investigate the ruin problem for the generalized φ-sub-Gaussian fractional Brownian...
The estimation for distribution of the norms of strictly sub-Gaussian random processes in the space ...
Approximation of some classes of random processes by cubic splines with given accuracy and reliabili...
We consider functionals of long-range dependent Gaussian sequences with infinite variance and obtai...
Consider a fractional Brownian motion (fBM) BH={BH(t):t∈[0,1]} with Hurst index H∈(0,1). We construc...
AbstractWe derive the exact asymptotic behavior of the ruin probability P{X(t)>xforsomet>0} for the ...
International audienceAn increasing number of time-consuming simulators exhibit a complex noise stru...
Let {X-H(t), t >= 0} be a fractional Brownian motion with Hurst index H is an element of (0, 1] a...
In the paper the simulation of stochastic processes is considered. For this purpose the estimation f...
Let X be the fractional Brownian motion of any Hurst index H in (0,1) (resp. a semimartingale) and s...
We consider the problem of approximation of value functions for controlled possibly degenerated diff...
For the stochastic partial differential equation $\frac{\partial u}{\partial t}=\mathcal L u +u\dot...
AbstractThe goal of this paper is to show that under some assumptions, for a d-dimensional fractiona...
Random processes from the class V (φ, ψ) which is more general than the class of ψ-sub-Gaussian rand...
A theorem about simulation of a Gaussian stochastic process with given accuracy and reliability in L...
In this paper we investigate the ruin problem for the generalized φ-sub-Gaussian fractional Brownian...
The estimation for distribution of the norms of strictly sub-Gaussian random processes in the space ...
Approximation of some classes of random processes by cubic splines with given accuracy and reliabili...
We consider functionals of long-range dependent Gaussian sequences with infinite variance and obtai...
Consider a fractional Brownian motion (fBM) BH={BH(t):t∈[0,1]} with Hurst index H∈(0,1). We construc...
AbstractWe derive the exact asymptotic behavior of the ruin probability P{X(t)>xforsomet>0} for the ...
International audienceAn increasing number of time-consuming simulators exhibit a complex noise stru...
Let {X-H(t), t >= 0} be a fractional Brownian motion with Hurst index H is an element of (0, 1] a...
In the paper the simulation of stochastic processes is considered. For this purpose the estimation f...
Let X be the fractional Brownian motion of any Hurst index H in (0,1) (resp. a semimartingale) and s...
We consider the problem of approximation of value functions for controlled possibly degenerated diff...
For the stochastic partial differential equation $\frac{\partial u}{\partial t}=\mathcal L u +u\dot...
AbstractThe goal of this paper is to show that under some assumptions, for a d-dimensional fractiona...