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pro vyhledávání: '"Lebovits, Joachim"'
Autor:
Lebovits, Joachim
Stochastic integration \textit{wrt} Gaussian processes has raised strong interest in recent years, motivated in particular by its applications in Internet traffic modeling, biomedicine and finance. The aim of this work is to define and develop a Whit
Externí odkaz:
http://arxiv.org/abs/1703.08393
Autor:
Lebovits, Joachim
The aim of this work is to define and perform a study of local times of all Gaussian processes that have an integral representation over a real interval (that maybe infinite). Very rich, this class of Gaussian processes, contains Volterra processes (
Externí odkaz:
http://arxiv.org/abs/1703.05006
Autor:
Lebovits, Joachim, Podolskij, Mark
This paper presents a new estimator of the global regularity index of a multifractional Brownian motion. Our estimation method is based upon a ratio statistic, which compares the realized global quadratic variation of a multifractional Brownian motio
Externí odkaz:
http://arxiv.org/abs/1607.02391
Autor:
Lebovits, Joachim
Le premier chapitre de cette thèse introduit les différentes notions que nous utiliserons et présente les travaux qui constituent ce mémoire.Dans le deuxième chapitre de cette thèse nous donnons une construction ainsi que les principales propri
Externí odkaz:
http://www.theses.fr/2012ECAP0006/document
Autor:
Lebovits, Joachim
Stochastic integration with respect to Gaussian processes, such as fractional Brownian motion (fBm) or multifractional Brownian motion (mBm), has raised strong interest in recent years, motivated in particular by applications in finance, Internet tra
Externí odkaz:
http://arxiv.org/abs/1408.1020
Autor:
Lebovits, Joachim
Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic modelling. Since fBm is not a semi-martingale, stochastic integration r
Externí odkaz:
http://arxiv.org/abs/1305.0342
Autor:
Lebovits, Joachim, Vehel, Jacques Lévy
Stochastic calculus with respect to fractional Brownian motion (fBm) has attracted a lot of interest in recent years, motivated in particular by applications in finance and Internet traffic modeling. Multifractional Brownian motion (mBm) is a Gaussia
Externí odkaz:
http://arxiv.org/abs/1103.5291
Publikováno v:
Journal of Theoretical Probability; Mar2024, Vol. 37 Issue 1, p905-932, 28p
Akademický článek
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Publikováno v:
In Stochastic Processes and their Applications January 2014 124(1):678-708