Mishura, Yuliya

1. Two methods of estimation of the drift parameters of the\n Cox-Ingersoll-Ross process: continuous observations
   2020/05/11 by Olena Dehtiar, Dehtiar, Olena, Yuliya Mishura +3 · 3 citations
   Economics, Econometrics and Finance · Mathematics · #60G22 #60H10 #62F10 #Complex Systems and Time Series Analysis #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
2. Parameter estimation in CKLS model by continuous observations
   2021/05/28 by Mishura, Yuliya, Ralchenko, Kostiantyn, Dehtiar, Olena · 3 citations
   #60H10 #62F10 #62F12 #91G70 #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)
3. Bounds for expected maxima of Gaussian processes and their discrete approximations
   2015/08/01 by Borovkov, Konstantin, Mishura, Yuliya, Novikov, Alexander +1 · 2 citations
   #60G15 #60G22 #60J65 #FOS: Mathematics #Probability (math.PR)
4. Example of a Gaussian self-similar field with stationary rectangular\n increments that is not a fractional Brownian sheet
   2014/03/05 by Vitalii Makogin, Yuliya Mishura, Makogin, Vitalii +1 · 1 citation
   Economics, Econometrics and Finance · Environmental Science · #60G18 #60G22 #60G60 #Analysis of environmental and stochastic processes #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications
5. From constant to rough: A survey of continuous volatility modeling
   2023/09/02 by Di Nunno, Giulia, Kubilius, Kęstutis, Mishura, Yuliya +1 · 2 citations
   #60G22 #60H10 #62P05 #91-02 #91-03 #91G15 #91G30 #91G80 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR)
6. Option pricing with fractional stochastic volatility and discontinuous\n payoff function of polynomial growth
   2016/07/25 by Viktor Bezborodov, Bezborodov, Viktor, Luca Di Persio +3 · 1 citation
   Economics, Econometrics and Finance · Physics and Astronomy · #60G22 #60H07 #91B24 #91B25 #91G20 #91G60 #Advanced Thermodynamics and Statistical Mechanics #Complex Systems and Time Series Analysis #FOS: Mathematics #Probability (math.PR) #Stochastic processes and financial applications
7. Gaussian self-similar random fields with distinct stationary properties of their rectangular increments
   2019/04/01 by Makogin, Vitalii, Mishura, Yuliya · 1 citation
   #FOS: Mathematics #Probability (math.PR)
8. How does tempering affect the local and global properties of fractional\n Brownian motion?
   2020/05/23 by Ehsan Azmoodeh, Yuliya Mishura, Azmoodeh, Ehsan +3 · 1 citation
   Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Stochastic processes and financial applications
9. Asymptotic behavior of mixed power variations and statistical estimation in mixed models
   2013/01/06 by Dozzi, Marco, Mishura, Yuliya, Shevchenko, Georgiy · 1 citation
   #60G15 #60G22 #62F25 #62M09 #FOS: Computer and information sciences #FOS: Mathematics #Methodology (stat.ME) #Probability (math.PR)
10. Standard and fractional reflected Ornstein-Uhlenbeck processes as the limits of square roots of Cox-Ingersoll-Ross processes
    2021/09/28 by Mishura, Yuliya, Yurchenko-Tytarenko, Anton · 1 citation
    #60G22 #60H10 #91G30 #FOS: Mathematics #Probability (math.PR)
11. Gaussian processes with Volterra kernels
    2020/01/10 by Mishura, Yuliya, Shevchenko, Georgiy, Shklyar, Sergiy · 1 citation
    #45D05 #45E10 (Secondary) #60G17 #60G22 (Primary) 60G15 #FOS: Mathematics #Probability (math.PR)
12. Low-dimensional Cox-Ingersoll-Ross process
    2023/03/22 by Mishura, Yuliya, Pilipenko, Andrey, Yurchenko-Tytarenko, Anton · 1 citation
    #60G22 #60H10 #91G30 #FOS: Mathematics #Probability (math.PR)