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Modern Stochastics: Theory and Applications


Cited by 4
Fractional Cox–Ingersoll–Ross process with small Hurst indices

A Fractional Heston-Type Model as a Singular Stochastic Equation Driven by Fractional Brownian Motion
Marc Mukendi Mpanda
https://doi.org/10.3390/fractalfract8060330
Journal  Fractal and Fractional Volume 8, Issue 6 (2024), p. 330
APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL
YULIYA MISHURA, ANTON YURCHENKO-TYTARENKO
https://doi.org/10.1142/S0219024920500314
Journal  International Journal of Theoretical and Applied Finance Volume 23, Issue 05 (2020), p. 2050031
Fractional diffusion Bessel processes with Hurst index H∈(0,12)
Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1016/j.spl.2023.110008
Journal  Statistics & Probability Letters Volume 206 (2024), p. 110008
Positive Solutions of the Fractional SDEs with Non-Lipschitz Diffusion Coefficient
Kęstutis Kubilius, Aidas Medžiūnas
https://doi.org/10.3390/math9010018
Journal  Mathematics Volume 9, Issue 1 (2020), p. 18


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