Zobrazeno 1 - 10
of 27
pro vyhledávání: '"Douissi, Soukaina"'
Autor:
Douissi, Soukaina, Alshahrani, Fatimah
The aim of this work is to estimate the drift coefficient of a fractional heat equation driven by an additive space-time noise using the Maximum likelihood estimator (MLE). In the first part of the paper, the first $N$ Fourier modes of the solution a
Externí odkaz:
http://arxiv.org/abs/2409.05416
In this paper, we study the distribution of the so-called "Yule's nonsense correlation statistic" on a time interval $[0,T]$ for a time horizon $T>0$ , when $T$ is large, for a pair $(X_{1},X_{2})$ of independent Ornstein-Uhlenbeck processes. This st
Externí odkaz:
http://arxiv.org/abs/2108.02857
Let $Z:=\{Z_t,t\geq0\}$ be a stationary Gaussian process. We study two estimators of $\mathbb{E}[Z_0^2]$, namely $\widehat{f}_T(Z):= \frac{1}{T} \int_{0}^{T} Z_{t}^{2}dt$, and $\widetilde{f}_n(Z) :=\frac{1}{n} \sum_{i =1}^{n} Z_{t_{i}}^{2}$, where $
Externí odkaz:
http://arxiv.org/abs/2102.04810
In this paper, we study the asymptotic behavior of the quadratic variation for the class of AR(1) processes driven by white noise in the second Wiener chaos. Using tools from the analysis on Wiener space, we give an upper bound for the total-variatio
Externí odkaz:
http://arxiv.org/abs/1907.06782
In this paper, we focus on mean-field anticipated backward stochastic differential equations (MF-BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H>1/2. First, the existence and uniqueness of this new type of BSDEs are esta
Externí odkaz:
http://arxiv.org/abs/1804.10482
Publikováno v:
In Stochastic Processes and their Applications August 2022 150:886-918
We consider a mean-field optimal control problem for stochastic differential equations with delay driven by fractional Brownian motion with Hurst parameter greater than one half. Stochastic optimal control problems driven by fractional Brownian motio
Externí odkaz:
http://arxiv.org/abs/1706.06233
We study rates of convergence in central limit theorems for the partial sum of squares of general Gaussian sequences, using tools from analysis on Wiener space. No assumption of stationarity, asymptotically or otherwise, is made. The main theoretical
Externí odkaz:
http://arxiv.org/abs/1706.02420
Autor:
Douissi, Soukaina1 douissi.soukaina@gmail.com, Es-Sebaiy, Khalifa2 khalifa.essebaiy@ku.edu.kw, Viens, Frederi G.3 viens@msu.edu
Publikováno v:
ALEA. Latin American Journal of Probability & Mathematical Statistics. 2019, Vol. 16, p633-664. 32p.
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