Results 1 to 10 of about 23 (23)

On copulas of self-similar Ito processes

Dependence Modeling, 2021
We characterize the cumulative distribution functions and copulas of two-dimensional self-similar Ito processes, with randomly correlated Wiener margins, as solutions of certain elliptic partial differential equations.
Jaworski Piotr, Krzywda Marcin
doaj   +1 more source

Parameter estimation for Ornstein-Uhlenbeck processes driven by fractional Lévy process. [PDF]

J Inequal Appl, 2018
Shen G, Li Y, Gao Z.
europepmc   +1 more source

Renormalized self-intersection local time of bifractional Brownian motion. [PDF]

J Inequal Appl, 2018
Chen Z, Sang L, Hao X.
europepmc   +1 more source

Yaglom limit for unimodal Lévy processes

Annales De L'institut Henri Poincare (B) Probability and Statistics, 2023
Tomasz Grzywny, Krzysztof Bogdan, Łukasz Leżaj   +2 more
exaly  

Local times and related sample Path properties of certain self-similar processes

Kyoto Journal of Mathematics, 1993
Norio Kono, Narn-Rueih Shieh
exaly  

Semi-Lévy processes, semi-selfsimilar additive processes, and semi-stationary Ornstein-Uhlenbeck type processes

Kyoto Journal of Mathematics, 2003
Makoto Maejima, Ken-Iti Sato
exaly  

Stable windings

Annals of Probability, 1996
Wendelin Werner
exaly  

Limit theorems for local times of fractional Brownian motions and some other self-similar processes

Kyoto Journal of Mathematics, 1996
Narn-Rueih Shieh
exaly  

On recurrence for self-similar additive processes

Kodai Mathematical Journal, 2000
Kouji Yamamuro
exaly  

Asymptotic Laws for Nonconservative Self-similar Fragmentations

Electronic Journal of Probability, 2004
Jean Bertoin, Alexander Gnedin
exaly