Yuliia Mishura

Yuliia Mishura
National Taras Shevchenko University of Kyiv | Київський національний університет імені Тараса Шевченка · Faculty of Mechanics and Mathematics

Doctor of Sciences

About

419
Publications
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2,399
Citations
Citations since 2016
164 Research Items
1618 Citations
2016201720182019202020212022050100150200250300
2016201720182019202020212022050100150200250300
2016201720182019202020212022050100150200250300
2016201720182019202020212022050100150200250300

Publications

Publications (419)
Article
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In this paper, we analyze the drift-implicit (or backward) Euler numerical scheme for a class of stochastic differential equations with unbounded drift driven by an arbitrary λ-Hölder continuous process, λ ∈ (0,1). We prove that, under some mild moment assumptions on the Hölder constant of the noise, the Lr(Ω;L∞([0,T]))\documentclass[12pt]{minimal}...
Article
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We study the projection of an element of fractional Gaussian noise onto its neighbouring elements. We prove some analytic results for the coefficients of this projection. In particular, we obtain recurrence relations for them. We also make several conjectures concerning the behaviour of these coefficients, provide numerical evidence supporting thes...
Preprint
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We introduce a new model of financial market with stochastic volatility driven by an arbitrary H\"older continuous Gaussian Volterra process. The distinguishing feature of the model is the form of the volatility equation which ensures the solution to be ``sandwiched'' between two arbitrary H\"older continuous functions chosen in advance. We discuss...
Preprint
Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the distribution of Wiener functionals is applied. The effects of the asymptotic expansion are demonstrated by numerical studies.
Preprint
We study the projection of an element of fractional Gaussian noise onto its neighbouring elements. We prove some analytic results for the coefficients of this projection, in particular, we obtain recurrence relations for them. We also make several conjectures concerning the behaviour of these coefficients, provide numerical evidence supporting thes...
Article
The article deals with numerical estimation of the drift parameter in the continuous-time linear model with two independent fractional Brownian motions. The main focus is given to the computational difficulties of the maximum likelihood approach, in particular, to the construction of the approximate solution to the Fredholm integral equation of the...
Article
Full-text available
In this paper the study of a three-parametric class of Gaussian Volterra processes is continued. This study was started in Part I of the present paper. The class under consideration is a generalization of a fractional Brownian motion that is in fact a one-parametric process depending on Hurst index H. On the one hand, the presence of three paramete...
Preprint
Full-text available
In this paper, we analyze the drift-implicit (or backward) Euler numerical scheme for a class of stochastic differential equations with unbounded drift driven by an arbitrary $\lambda$-H\"older continuous process, $\lambda\in(0,1)$. We prove that, under some mild moment assumptions on the H\"older constant of the noise, the $L^r(\Omega;L^\infty([0,...
Article
Full-text available
We investigate the mixed fractional Brownian motion with trend of the form \(X_t = \theta t + \sigma W_t + \kappa B^H_t\), driven by a standard Brownian motion W and a fractional Brownian motion \(B^H\) with Hurst parameter H. We develop and compare two approaches to estimation of four unknown parameters \(\theta \), \(\sigma \), \(\kappa \) and H...
Article
Full-text available
The stochastic process of the form \[ {X_{t}}={\int _{0}^{t}}{s^{\alpha }}\left({\int _{s}^{t}}{u^{\beta }}{(u-s)^{\gamma }}\hspace{0.1667em}du\right)\hspace{0.1667em}d{W_{s}}\] is considered, where W is a standard Wiener process, $\alpha >-\frac{1}{2}$, $\gamma >-1$, and $\alpha +\beta +\gamma >-\frac{3}{2}$. It is proved that the process X is...
Article
Full-text available
In this paper, we establish a new connection between Cox–Ingersoll–Ross (CIR) and reflected Ornstein–Uhlenbeck (ROU) models driven by either a standard Wiener process or a fractional Brownian motion with H>12. We prove that, with probability 1, the square root of the CIR process converges uniformly on compacts to the ROU process as the mean reversi...
Article
Full-text available
The present paper investigates the effects of tempering the power law kernel of the moving average representation of a fractional Brownian motion (fBm) on some local and global properties of this Gaussian stochastic process. Tempered fractional Brownian motion (TFBM) and tempered fractional Brownian motion of the second kind (TFBMII) are the proces...
Article
We consider a stochastic differential equation of the form drt=(a−brt)dt+σrtβdWt, where a, b and σ are positive constants, β∈(12,1). We study the estimation of an unknown drift parameter (a,b) by continuous observations of a sample path {rt,t∈[0,T]}. We prove the strong consistency and asymptotic normality of the maximum likelihood estimator. We pr...
Article
The paper contains sufficient conditions on the function f and the stochastic process X that supply the rate of divergence of the integral functional ∫0Tf(Xt)2dt at the rate T1−ε as T→∞ for every ε>0. These conditions include so called small ball estimates which are discussed in detail. Statistical applications are provided.
Article
The paper is devoted to the basic properties of fractional integrals. It is a survey of the well-known properties of fractional integrals, however, the authors tried to present the known information about fractional integrals as short and transparently as possible. We introduce fractional integrals on the compact interval and on the semi-axes, cons...
Preprint
Full-text available
In this paper, we establish a new connection between Cox-Ingersoll-Ross (CIR) and reflected Ornstein-Uhlenbeck (ROU) models driven by either a standard Wiener process or a fractional Brownian motion with $H>\frac{1}{2}$. We prove that, with probability 1, the square root of the CIR process converges uniformly on compacts to the ROU process as the m...
Article
In this paper, we study some properties of the generalized Fokker–Planck equation induced by the time-changed fractional Ornstein–Uhlenbeck process. First of all, we exploit some sufficient conditions to show that a mild solution of such equation is actually a classical solution. Then, we discuss an isolation result for mild solutions. Finally, we...
Article
The article is devoted to the approximate solutions of the Fredholm integral equations of the second kind with the weak singular kernel that can have additional singularity in the numerator. We describe two problems that lead to such equations. They are the problem of minimization of small deviations and the entropy minimization problem. Both of th...
Article
We study convexity properties of the Rényi entropy as function of $\alpha >0$ on finite alphabets. We also describe robustness of the Rényi entropy on finite alphabets, and it turns out that the rate of respective convergence depends on initial alphabet. We establish convergence of the disturbed entropy when the initial distribution is uniform but...
Article
Full-text available
We study boundary non-crossing probabilities $$\begin{aligned} P_{f,u} := \mathrm {P}\big (\forall t\in {\mathbb {T}}\ X_t + f(t)\le u(t)\big ) \end{aligned}$$for a continuous centered Gaussian process X indexed by some arbitrary compact separable metric space \({\mathbb {T}}\). We obtain both upper and lower bounds for \(P_{f,u}\). The bounds are...
Preprint
We consider a stochastic differential equation of the form $dr_t = (a - b r_t) dt + \sigma r_t^\beta dW_t$, where $a$, $b$ and $\sigma$ are positive constants, $\beta\in(\frac12,1)$. We study the estimation of an unknown drift parameter $(a,b)$ by continuous observations of a sample path $\{r_t, t \in [0,T]\}$. We prove the strong consistency and a...
Article
Full-text available
In the high-frequency limit, conditionally expected increments of fractional Brownian motion converge to a white noise, shedding their dependence on the path history and the forecasting horizon and making dynamic optimisation problems tractable. We find an explicit formula for locally mean–variance optimal strategies and their performance for an as...
Article
The paper is devoted to the existence of perpetual integral functionals ∫0∞f(X(t))dtfor several classes of d-dimensional of stochastic processes X(t). The method is very simple: we establish the conditions supplying that these functionals have a finite expectation. Examples of these classes include d-dimensional fractional Brownian motion having co...
Preprint
Full-text available
We study convexity properties of R\'{e}nyi entropy as function of $\alpha>0$ on finite alphabets. We also describe robustness of the R\'{e}nyi entropy on finite alphabets, and it turns out that the rate of respective convergence depends on initial alphabet. We establish convergence of the disturbed entropy when the initial distribution is uniform b...
Article
Full-text available
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractional Brownian motion. For such process we specify mean and covariance functions, concentrating on their asymptotic behavior. This gives us a sort of short- or long-range d...
Article
We study the asymptotic behaviour of a properly normalized time changed Wiener processes. The time change reflects the fact that we consider the Laplace operator (which generates a Wiener process) multiplied by a possibly degenerate state-space dependent intensity λ(x). Applying a functional limit theorem for the superposition of stochastic process...
Preprint
The paper contains sufficient conditions on the function $f$ and the stochastic process $X$ that supply the rate of divergence of the integral functional $\int_0^Tf(X_t)^2dt$ at the rate $T^{1-\epsilon}$ as $T\to\infty$ for every $\epsilon>0$. These conditions include so called small ball estimates which are discussed in detail. Statistical applica...
Article
Full-text available
We consider a stochastic differential equation of the form d r t = ( a − b r t ) d t + σ r t d W t , where a, b and σ are positive constants. The solution corresponds to the Cox–Ingersoll–Ross process. We study the estimation of an unknown drift parameter (a, b) by continuous observations of a sample path { r t , t ∈ [ 0 , T ] } . First, we prove t...
Preprint
Full-text available
We study a stochastic differential equation with an unbounded drift and general H\"older continuous noise of an arbitrary order. The corresponding equation turns out to have a unique solution that, depending on a particular shape of the drift, either stays above some continuous function or has continuous upper and lower bounds. Under some additiona...
Preprint
In this paper we study some convergence results concerning the one-dimensional distribution of a time-changed fractional Ornstein-Uhlenbeck process. In particular, we establish that, despite the time change, the process admits a Gaussian limit random variable. On the other hand, we prove that the process converges towards the time-changed Ornstein-...
Article
Full-text available
In this paper, we find fractional Riemann–Liouville derivatives for the Takagi–Landsberg functions. Moreover, we introduce their generalizations called weighted Takagi–Landsberg functions, which have arbitrary bounded coefficients in the expansion under Schauder basis. The class of weighted Takagi–Landsberg functions of order H > 0 on [0; 1] coinci...
Article
Full-text available
We consider an economic agent (a household or an insurance company) modelling its surplus process by a deterministic process or by a Brownian motion with drift. The goal is to maximise the expected discounted spending/dividend payments under a discounting factor given by an exponential CIR process. In the deterministic case, we are able to find exp...
Preprint
We consider a fractional Ornstein-Uhlenbeck process involving a stochastic forcing term in the drift, as a solution of a linear stochastic differential equation driven by a fractional Brownian motion. For such process we specify mean and covariance functions, concentrating on their asymptotic behavior. This gives us a sort of short- or long-range d...
Preprint
Full-text available
We investigate a stochastic partial differential equation with second order elliptic operator in divergence form, having a piecewise constant diffusion coefficient, and driven by a space-time white noise. We introduce a notion of weak solution of this equation and prove its equivalence to the already known notion of mild solution.
Preprint
Full-text available
We study the existence and uniqueness of solutions to stochastic differential equations with Volterra processes driven by L\'evy noise. For this purpose, we study in detail smoothness properties of these processes. Special attention is given to two kinds of Volterra-Gaussian processes that generalize the compact interval representation of fractiona...
Preprint
Full-text available
The paper is devoted to the approximate solutions of the Fredholm integral equations of the second kind with the weak singular kernel that can have additional singularity in the numerator. We describe two problems that lead to such equations. They are the problem of minimization of small deviation and the entropy minimization problem. Both of them...
Preprint
We find the best approximation of the fractional Brownian motion with the Hurst index $H\in (0,1/2)$ by Gaussian martingales of the form $\int _0^ts^{\gamma}dW_s$, where $W$ is a Wiener process, $\gamma >0$.
Preprint
The paper is devoted to the existence of integral functionals $\int_0^\infty f(X(t))\,{\mathrm{d}t}$ for several classes of processes in $\mathbb{R}$ with $d\ge 3$. Some examples such as Brownian motion, fractional Brownian motion, compound Poisson process, Markov processes admitting densities of transitional probabilities are considered.
Article
In this paper, we consider option pricing in a framework of the fractional Heston-type model with [Formula: see text]. As it is impossible to obtain an explicit formula for the expectation [Formula: see text] in this case, where [Formula: see text] is the asset price at maturity time and [Formula: see text] is a payoff function, we provide a discre...
Article
Full-text available
We find the best approximation of the fractional Brownian motion with the Hurst index $H\in (0,1/2)$ by Gaussian martingales of the form ${\textstyle\int _{0}^{t}}{s^{\gamma }}d{W_{s}}$, where W is a Wiener process, $\gamma >0$.
Article
For a continuous-time random walk X = {Xt, t ⩾ 0} (in general non-Markov), we study the asymptotic behaviour, as t → ∞, of the normalized additive functional $c_t\int _0^{t} f(X_s)\,{\rm d}s$ , t⩾ 0. Similarly to the Markov situation, assuming that the distribution of jumps of X belongs to the domain of attraction to α-stable law with α > 1, we est...
Preprint
We consider the fractional Ornstein-Uhlenbeck process, solution of a stochastic differential equation driven by the fractional Brownian motion, and we study its time-changed version, obtained via an inverse $\alpha$-stable subordinator. We focus on the convergence of the probability density function as the Hurst index $H \to \frac{1}{2}$. The gener...
Preprint
Full-text available
The present paper investigates the effects of tempering the power law kernel of moving average representation of a fractional Brownian motion (fBm) on some local and global properties of this Gaussian stochastic process. Tempered fractional Brownian motion (TFBM) and tempered fractional Brownian motion of the second kind (TFBMII) are the processes...
Preprint
Full-text available
We consider a stochastic differential equation of the form $dr_t = (a - b r_t) dt + \sigma\sqrt{r_t}dW_t$, where $a$, $b$ and $\sigma$ are positive constants. The solution corresponds to the Cox-Ingersoll-Ross process. We study the estimation of an unknown drift parameter $(a,b)$ by continuous observations of a sample path $\{r_t,t\in[0,T]\}$. Firs...
Preprint
We study the asymptotic behaviour of a properly normalized time changed Wiener processes. The time change reflects the fact that we consider the Laplace operator (which generates a Wiener process) multiplied by a possibly degenerate state-space dependent intensity $\lambda(x)$. Applying a functional limit theorem for the superposition of stochastic...
Chapter
In this chapter, we consider homogeneous one-dimensional stochastic differential equations with non-regular dependence on a parameter. The asymptotic behavior of the mixed functionals of the form \(I_T(t)=F_T(\xi _T(t))+\int \limits _{0}^{t} g_T(\xi _T(s))\,d\xi _T(s)\), t ≥ 0 is studied as T → +∞. Here ξT is a strong solution to the stochastic dif...
Chapter
In this chapter, we consider one-dimensional homogeneous stochastic differential equations whose coefficients place these equations on the border between equations whose solutions have ergodic distribution, and equations with stochastically unstable solutions. To simplify calculations and to visualize better the influence of the drift coefficient o...
Chapter
In this chapter we consider one-dimensional homogeneous stochastic differential equations with stochastically unstable solutions. Conditions on the coefficients of the equations leading to instability of the solutions are established in Sect. 2.1. Necessary and sufficient conditions for the weak convergence of the stochastically unstable solutions...
Chapter
The purpose of this chapter is to introduce the reader to the basic concepts related to unstable processes. To convince the reader that stochastically unstable processes are an important subject for consideration, let us continue with further definitions and visualizations.
Article
We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the density is shown. We also provide a generalized Fokker-Planck equation for the density of the process.
Preprint
Full-text available
In this paper we find fractional Riemann-Liouville derivatives for the Takagi-Landsberg functions. Moreover, we introduce their generalizations called weighted Takagi-Landsberg functions which have arbitrary bounded coefficients in the expansion under Schauder basis. The class of the weighted Takagi- Landsberg functions of order $H>0$ on $[0,1]$ co...
Article
Full-text available
We introduce a fractional stochastic heat equation with second-order elliptic operator in divergence form, having a piecewise constant diffusion coefficient, and driven by an infinite-dimensional fractional Brownian motion. We characterize the fundamental solution of its deterministic part, and prove the existence and the uniqueness of its solution...
Article
Full-text available
This paper is devoted to the study of the stability of finite-dimensional distribution of time-inhomogeneous, discrete-time Markov chains on a general state space. The main result of the paper provides an estimate for the absolute difference of finite-dimensional distributions of a given time-inhomogeneous Markov chain and its perturbed version. By...
Article
Full-text available
We present general conditions for the weak convergence of a discrete-time additive scheme to a stochastic process with memory in the space D [ 0 , T ] . Then we investigate the convergence of the related multiplicative scheme to a process that can be interpreted as an asset price with memory. As an example, we study an additive scheme that converge...
Preprint
Full-text available
We study Volterra processes $X_t = \int_0^t K(t,s) dW_s$, where $W$ is a standard Wiener process, and the kernel has the form $K(t,s) = a(s) \int_s^t b(u) c(u-s) du$. This form generalizes the Volterra kernel for fractional Brownian motion (fBm) with Hurst index $H>1/2$. We establish smoothness properties of $X$, including continuity and Holder pro...
Preprint
Full-text available
In this paper the fractional Cox-Ingersoll-Ross process on $\mathbb{R}_+$ for $H<1/2$ is defined as a square of a pointwise limit of the processes $Y_{\varepsilon}$, satisfying the SDE of the form $d Y_{\varepsilon}(t)=( \frac{k}{ Y_{\varepsilon}(t)\mathbb{1}_{\{ Y_{\varepsilon}(t)>0\}}+\varepsilon}-a Y_{\varepsilon}(t))dt+\sigma dB^H(t)$, as $\var...
Book
This book is devoted to unstable solutions of stochastic differential equations (SDEs). Despite the huge interest in the theory of SDEs, this book is the first to present a systematic study of the instability and asymptotic behavior of the corresponding unstable stochastic systems. The limit theorems contained in the book are not merely of purely m...
Article
We investigate a stochastic partial differential equation with second order elliptic operator in divergence form, having a piecewise constant diffusion coefficient, and driven by a space–time white noise. We introduce a notion of weak solution of this equation and prove its equivalence to the already known notion of mild solution.
Preprint
Full-text available
We introduce a fractional stochastic heat equation with second order elliptic operator in divergence form, having a piecewise constant diffusion coefficient, and driven by an infinite-dimensional fractional Brownian motion. We characterize the fundamental solution of its deterministic part, and prove the existence and the uniqueness of its solution...
Article
The small ball probability of a mixed fractional Brownian motion with trend for the case when Hurst index H∈(1/2,1) is considered. The exact lower and upper bounds for such probability are derived and its exact asymptotic is given as well.
Preprint
Full-text available
We define a time-changed fractional Ornstein-Uhlenbeck process by composing a fractional Ornstein-Uhlenbeck process with the inverse of a subordinator. Properties of the moments of such process are investigated and the existence of the density is shown. We also provide a generalized Fokker-Planck equation for the density of the process.
Preprint
Full-text available
In this paper, we consider option pricing in a framework of the fractional Heston-type model with $H>1/2$. As it is impossible to obtain an explicit formula for the expectation $\mathbb E f(S_T)$ in this case, where $S_T$ is the asset price at maturity time and $f$ is a payoff function, we provide a discretization schemes $\hat Y^n$ and $\hat S^n$...
Preprint
Full-text available
For a continuous-time random walk $X=\{X_t,t\ge 0\}$ (in general non-Markov), we study the asymptotic behavior, as $t\rightarrow \infty$, of the normalized additive functional $c_t\int_0^{t} f(X_s)ds$, $t\ge 0$. Similarly to the Markov situation, assuming that the distribution of jumps of $X$ belongs to the domain of attraction to $\alpha$-stable l...
Article
Full-text available
We consider the distance between the fractional Brownian motion defined on the interval [0,1] and the space of Gaussian martingales adapted to the same filtration. As the distance between stochastic processes, we take the maximum over [0,1] of mean-square deviances between the values of the processes. The aim is to calculate the function a in the G...
Article
Full-text available
We describe two classes of Gaussian multi-self-similar random fields: with strictly stationary rectangular increments and with mild stationary rectangular increments. We find explicit spectral and moving average representations for the fields with strictly stationary rectangular increments and characterize fields with mild stationary rectangular in...
Article
This chapter describes the main properties of fractional Brownian motion (fBm), including its integral representations. It formulates the minimizing problem simplifying it at the same time. The chapter proposes a positive lower bound for the distance between fBm and the space of Gaussian martingales. The main problem of minimization procedure is th...
Preprint
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We describe two classes of Gaussian self-similar random fields: with strictly stationary rectangular increments and with mild stationary rectangular increments. We find explicit spectral and moving average representations for the fields with strictly stationary rectangular increments and characterize fields with mild stationary rectangular incremen...
Chapter
This chapter first considers representation of fractional Brownian motion (fBm) via the uniformly convergent series of special Lebesgue integrals. It then presents the approximation of a fBm by semimartingales. The chapter shows that pathwise stochastic integral with respect to fBm can be approximated by the stochastic integrals with respect to sem...
Chapter
This chapter describes the procedure of evaluation of the minimizing function and the distance between fractional Brownian motion (fBm) and the respective class of Gaussian martingales in some cases. The cases include: integrand is a constant function; it is a power function with a fixed exponent; it is a power function with arbitrary non‐negative...