Kostiantyn Ralchenko
Cited by
Cited by
Parameter estimation in fractional diffusion models
K Kubilius, IUS Mishura, K Ralchenko
Springer, 2017
Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index
K Kubilius, Y Mishura, K Ralchenko, O Seleznjev
Electronic Journal of Statistics 9 (2), 1799 - 1825, 2015
Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process
A Kukush, Y Mishura, K Ralchenko
Electronic Journal of Statistics 11 (1), 385-400, 2017
Path properties of multifractal Brownian motion
K Ralchenko, G Shevchenko
Theory of Probability and Mathematical Statistics 80, 119 - 130, 2010
On drift parameter estimation in models with fractional Brownian motion by discrete observations
Y Mishura, K Ralchenko
Austrian Journal of Statistics 43 (3-4), 217 - 228, 2014
Asymptotic properties of drift parameter estimator based on discrete observations of stochastic differential equation driven by fractional Brownian motion
Y Mishura, K Ralchenko, O Seleznev, G Shevchenko
Modern Stochastics and Applications, Volume 90 of Springer Optimization and …, 2014
Two-parameter Garsia-Rodemich-Rumsey inequality and its application to fractional Brownian fields
K Ralchenko
Theory of Probability and Mathematical Statistics 75, 167 - 178, 2007
Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process
Y Mishura, V Piterbarg, K Ralchenko, A Yurchenko-Tytarenko
Theory of Probability and Mathematical Statistics 97, 167-182, 2018
Multifractional Poisson process, multistable subordinator and related limit theorems
I Molchanov, K Ralchenko
Statistics & Probability Letters 96, 95-101, 2015
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
M Dozzi, Y Kozachenko, Y Mishura, K Ralchenko
Statistical Inference for Stochastic Processes 21 (1), 21-52, 2018
Approximation of multifractional Brownian motion by absolutely continuous processes
K Ralchenko
Theory of Probability and Mathematical Statistics 82, 115 - 127, 2011
The rate of convergence of the Hurst index estimate for a stochastic differential equation
K Kubilius, V Skorniakov, K Ralchenko
Nonlinear Anal. Model. Control 22 (2), 273-284, 2017
A generalisation of the fractional Brownian field based on non-Euclidean norms
I Molchanov, K Ralchenko
Journal of Mathematical Analysis and Applications 430 (1), 262-278, 2015
Maximum likelihood estimation in the fractional Vasicek model
S Lohvinenko, K Ralchenko
Lithuanian Journal of Statistics 56 (1), 77-87, 2017
Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises
Y Mishura, K Ralchenko, G Shevchenko
Theory of Probability and Mathematical Statistics 98, 149-170, 2019
Asymptotic properties of parameter estimators in fractional Vasicek model
S Lohvinenko, K Ralchenko, O Zhuchenko
Lithuanian Journal of Statistics 55 (1), 102-111, 2016
Fractional Brownian Motion: Approximations and Projections
O Banna, Y Mishura, K Ralchenko, S Shklyar
John Wiley & Sons, 2019
Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility
M Bel Hadj Khlifa, Y Mishura, K Ralchenko, M Zili
Modern Stochastics: Theory and Applications 3 (4), 269-285, 2016
Maximum likelihood drift estimation for Gaussian process with stationary increments
Y Mishura, K Ralchenko, S Shklyar
arXiv preprint arXiv:1612.00160, 2016
Fractional calculus and path-wise integration for Volterra processes driven by L\'evy and martingale noise
G Di Nunno, Y Mishura, K Ralchenko
arXiv preprint arXiv:1608.08466, 2016
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