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Kostiantyn Ralchenko
Kostiantyn Ralchenko
Taras Shevchenko National University of Kyiv
Verified email at knu.ua - Homepage
Title
Cited by
Cited by
Year
Parameter estimation in fractional diffusion models
K Kubilius, Y Mishura, K Ralchenko
Springer, 2017
682017
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
332015
Fractional Brownian motion: approximations and projections
O Banna, Y Mishura, K Ralchenko, S Shklyar
John Wiley & Sons, 2019
262019
Path properties of multifractal Brownian motion
K Ralchenko, G Shevchenko
Theory of Probability and Mathematical Statistics 80, 119 - 130, 2010
262010
Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process
A Kukush, Y Mishura, K Ralchenko
242017
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
23*2018
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, 21-52, 2018
212018
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
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
162019
Asymptotic properties of parameter estimators in fractional Vasicek model
S Lohvinenko, K Ralchenko, O Zhuchenko
Lithuanian Journal of Statistics 55 (1), 102-111, 2016
152016
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
Maximum likelihood estimation in the fractional Vasicek model
S Lohvinenko, K Ralchenko
Lithuanian Journal of Statistics 56 (1), 77-87, 2017
122017
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
122015
Multifractional Poisson process, multistable subordinator and related limit theorems
I Molchanov, K Ralchenko
Statistics & Probability Letters 96, 95-101, 2015
122015
Approximation of multifractional Brownian motion by absolutely continuous processes
K Ralchenko
Theory of Probability and Mathematical Statistics 82, 115 - 127, 2011
102011
Existence and uniqueness of mild solution to fractional stochastic heat equation
K Ralchenko, G Shevchenko
Modern Stochastics: Theory and Applications 6 (1), 57-79, 2018
92018
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
Maximum likelihood drift estimation for Gaussian process with stationary increments
Y Mishura, K Ralchenko, S Shklyar
arXiv preprint arXiv:1612.00160, 2016
92016
Maximum likelihood estimation in the non-ergodic fractional Vasicek model
S Lohvinenko, K Ralchenko
Modern Stochastics: Theory and Applications 6 (3), 377-395, 2019
82019
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