This article deals with the asymptotic behavior as t →+ ∞ of the survival function PT> t,
where T is the first passage time above a non negative level of a random process starting …

Fractional processes have gained popularity in financial modeling due to the dependence
structure of their increments and the roughness of their sample paths. The non-Markovianity …

The statistical inference of the Vasicek model driven by small Lévy process has a long
history. In this paper, we consider the problem of parameter estimation for Vasicek model dX …

We study the minimum Skorohod distance estimation θ ε∗ θ_ε^∗ and minimum L 1 L_1-
norm estimation θ ε˜ θ_ε of the drift parameter θ of a stochastic differential equation d X t= θ …

Nonparametric Estimation of Trend for Stochastic Differential Equations Driven by Fractional
Levy Process | Journal of Statistical Theory and Practice Skip to main content SpringerLink …

Although our work lies in the field of random processes, this thesis was originally motivated
by signal processing applications, mainly the stochastic modeling of sparse signals. We …

In this article we study processes that are constructed by a convolution of a deterministic
kernel with a martingale. A special emphasis is put on the case where the driving martingale …

Full article: A Law of Large Numbers for the Power Variation of Fractional Lévy Processes Skip to
Main Content Taylor and Francis Online homepage Taylor and Francis Online homepage Log in …

In this paper, we consider the problem of parameter estimation for Ornstein–Uhlenbeck
processes with small fractional Lévy noises, based on discrete observations at n regularly …

We are exploring two archetypal noise-induced escape scenarios: Escape from a finite
interval and from the positive half-line under the action of the mixture of Lévy and Gaussian …