Search Results - "Kubilius, Kęstutis" :: K.UTB vyhledávací portál

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The Implicit Euler Scheme for FSDEs with Stochastic Forcing: Existence and Uniqueness of the Solution

by Kubilius, Kęstutis
Published in Mathematics (Basel) (01.08.2024)

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$Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift$

Estimation of the Hurst index of the solutions of fractional SDE with locally Lipschitz drift

by Kubilius, Kęstutis
Published in Nonlinear analysis (Vilnius, Lithuania) (01.11.2020)

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A Class of Fractional Stochastic Differential Equations with a Soft Wall

by Kubilius, Kęstutis, Medžiūnas, Aidas
Published in Fractal and fractional (01.01.2023)

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From Constant to Rough: A Survey of Continuous Volatility Modeling

by Di Nunno, Giulia, Kubilius, Kęstutis, Mishura, Yuliya, Yurchenko-Tytarenko, Anton
Published in Mathematics (Basel) (01.10.2023)

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Positive Solutions of the Fractional SDEs with Non-Lipschitz Diffusion Coefficient

by Kubilius, Kęstutis, Medžiūnas, Aidas
Published in Mathematics (Basel) (01.01.2021)

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Pathwise Convergent Approximation for the Fractional SDEs

by Kubilius, Kęstutis, Medžiūnas, Aidas
Published in Mathematics (Basel) (01.02.2022)

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$On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process$

On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process

by Kęstutis Kubilius, Dmitrij Melichov
Published in Nonlinear analysis (Vilnius, Lithuania) (25.11.2016)

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The rate of convergence of the Hurst index estimate for a stochastic differential equation

by Kubilius, Kęstutis, Skorniakov, Viktor, Ralchenko, Kostiantyn
Published in Nonlinear analysis (Vilnius, Lithuania) (01.01.2017)

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Fractional SDEs with stochastic forcing: Existence, uniqueness, and approximation

by Kubilius, Kęstutis
Published in Nonlinear analysis (Vilnius, Lithuania) (01.11.2023)

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$On approximation of stochastic integrals with respect to a fractional Brownian motion$

On approximation of stochastic integrals with respect to a fractional Brownian motion

by Kęstutis Kubilius
Published in Lietuvos matematikos rinkinys (18.12.2005)

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An approximation of the solution of Stratanovich integral equation driven by a continuous p-semimartingale

by Kęstutis Kubilius
Published in Lietuvos matematikos rinkinys (17.12.2004)

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Estimating the Hurst index of the solution of a stochastic integral equation

by Kęstutis Kubilius, Dmitrij Melichov
Published in Lietuvos matematikos rinkinys (20.12.2009)

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$On weak convergence of an approximation of a fractional Brownian motion$

On weak convergence of an approximation of a fractional Brownian motion

by Kęstutis Kubilius
Published in Lietuvos matematikos rinkinys (22.12.2003)

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On estimation of the Hurst index of solutions of stochastic integral equations

by Kęstutis Kubilius, Dmitrij Melichov
Published in Lietuvos matematikos rinkinys (21.12.2008)

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On weak solutions of Stratonovich integral equation driven by a continuous p-semimartingales

by Kęstutis Kubilius
Published in Lietuvos matematikos rinkinys (20.12.2002)

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On approximation of stochastic integral equations driven by continuous p-semimartingales

by Kęstutis Kubilius
Published in Lietuvos matematikos rinkinys (17.12.2001)

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Exact Confidence Intervals of the Extended Orey Index for Gaussian Processes

by Kubilius, Kęstutis, Melichov, Dmitrij
Published in Methodology and computing in applied probability (01.09.2016)

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$The existence and uniqueness of the solution of the integral equation driven by fractional Brownian motion$

The existence and uniqueness of the solution of the integral equation driven by fractional Brownian motion

by Kęstutis Kubilius
Published in Lietuvos matematikos rinkinys (18.12.2000)

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The existence and uniqueness of the solution of the integral equation driven by a bounded p-variation function

by Kęstutis Kubilius
Published in Lietuvos matematikos rinkinys (17.12.1999)

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On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractional Brownian Motion

by Kubilius, Kęstutis, Melichov, Dmitrij
Published in Informatica (Vilnius, Lithuania) (01.01.2011)

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