Approximating some Volterra type stochastic integrals with applications to parameter estimation
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- Čoupek, P. & Maslowski, B., 2017. "Stochastic evolution equations with Volterra noise," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 877-900.
- Stefan Gerhold & Christoph Gerstenecker & Archil Gulisashvili, 2020. "Large deviations for fractional volatility models with non-Gaussian volatility driver," Papers 2003.12825, arXiv.org.
- Archil Gulisashvili, 2018. "Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions," Papers 1808.00421, arXiv.org, revised Jun 2019.
- Dzhaparidze, Kacha & van Zanten, Harry & Zareba, Pawel, 2005. "Representations of fractional Brownian motion using vibrating strings," Stochastic Processes and their Applications, Elsevier, vol. 115(12), pages 1928-1953, December.
- Saussereau, Bruno & Stoica, Ion Lucretiu, 2012. "Scalar conservation laws with fractional stochastic forcing: Existence, uniqueness and invariant measure," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1456-1486.
- Gulisashvili, Archil, 2020. "Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions," Stochastic Processes and their Applications, Elsevier, vol. 130(6), pages 3648-3686.
- Gerhold, Stefan & Gerstenecker, Christoph & Gulisashvili, Archil, 2021. "Large deviations for fractional volatility models with non-Gaussian volatility driver," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 580-600.
- Miriana Cellupica & Barbara Pacchiarotti, 2021. "Pathwise Asymptotics for Volterra Type Stochastic Volatility Models," Journal of Theoretical Probability, Springer, vol. 34(2), pages 682-727, June.
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Keywords
Fractional Brownian motion Reproducing kernel Hilbert space Gaussian process Likelihood function;Statistics
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