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- Ehsan Azmoodeh, Yuliya Mishura, Esko Valkeila, TEKNILLINEN KORKEAKOULU, TEKNISKA HÖGSKOLAN
- 2009

- Yuliya Mishura, Georgiy Shevchenko
- Computers & Mathematics with Applications
- 2012

For a mixed stochastic differential equation involving standard Brownian motion and an almost surely Hölder continuous process Z with Hölder exponent γ > 1/2, we establish a new result on its unique solvability. We also establish an estimate for difference of solutions to such equations with different processes Z and deduce a corresponding limit theorem. As… (More)

- Francesca Biagini, René Carmona, +31 authors Christoph Czichowsky
- 2015

- Alexander Melnikov, Yuliya Mishura
- Risk and Decision Analysis
- 2014

We adapt the general conditions of the weak convergence for the sequence of processes with discrete time to the diffusion process towards the weak convergence for the discrete-time models of a financial market to the continuous-time diffusion model. These results generalize a classical scheme of the weak convergence for discrete-time markets to the… (More)

- Yuliya Mishura, Taras Shalaiko, Georgiy Shevchenko
- Applied Mathematics and Computation
- 2015

The paper is concerned with a mixed stochastic delay differential equation involving both a Wiener process and a γ-Hölder continuous process with γ > 1/2 (e.g. a fractional Brownian motion with Hurst parameter greater than 1/2). It is shown that its solution depends continuously on the coefficients and the initial data. Two applications of this result are… (More)

- Ernesto Mordecki, Yuliya Mishura
- SIAM J. Control and Optimization
- 2016

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