Kostiantyn Ralchenko
Title
Cited by
Cited by
Year
Parameter estimation in fractional diffusion models
K Kubilius, IUS Mishura, K Ralchenko
Springer, 2017
372017
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
292015
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
212017
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
182014
Path properties of multifractal Brownian motion
K Ralchenko, G Shevchenko
Theory of Probability and Mathematical Statistics 80, 119 - 130, 2010
182010
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
152018
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
15*2018
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
152014
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
142007
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
122019
Multifractional Poisson process, multistable subordinator and related limit theorems
I Molchanov, K Ralchenko
Statistics & Probability Letters 96, 95-101, 2015
122015
Asymptotic properties of parameter estimators in fractional Vasicek model
S Lohvinenko, K Ralchenko, O Zhuchenko
Lithuanian Journal of Statistics 55 (1), 102-111, 2016
102016
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
102015
Fractional Brownian Motion: Approximations and Projections
O Banna, Y Mishura, K Ralchenko, S Shklyar
John Wiley & Sons, 2019
92019
Maximum likelihood estimation in the fractional Vasicek model
S Lohvinenko, K Ralchenko
Lithuanian Journal of Statistics 56 (1), 77-87, 2017
92017
The rate of convergence of the Hurst index estimate for a stochastic differential equation
K Kubilius, V Skorniakov, K Ralchenko
Nonlinear analysis: modelling and control 22 (2), 273-284, 2017
92017
Approximation of multifractional Brownian motion by absolutely continuous processes
K Ralchenko
Theory of Probability and Mathematical Statistics 82, 115 - 127, 2011
92011
On drift parameter estimation in models with fractional Brownian motion by discrete observations. Austrian J
Y Mishura, K Ralchenko
Stat 43 (3), 218-228, 2014
82014
Maximum likelihood estimation in the non-ergodic fractional Vasicek model
S Lohvinenko, K Ralchenko
Modern Stochastics: Theory and Applications 6 (3), 377-395, 2019
52019
Fractional stochastic heat equation with piecewise constant coefficients
Y Mishura, K Ralchenko, M Zili, E Zougar
Stochastics and Dynamics 21 (01), 2150002, 2021
42021
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