Page 555 - 8th European Congress of Mathematics ∙ 20-26 June 2021 ∙ Portorož, Slovenia ∙ Book of Abstracts
P. 555
Minisymposium
MODELING ROUGHNESS AND LONG-RANGE
DEPENDENCE WITH FRACTIONAL PROCESSES
(MS-18)
Organized by Yuliya Mishura, Taras Shevchenko National University of Kyiv, Ukraine
Coorganized by
Mark Podolskij, Aarhus University, Denmark
Nikolaj Leonenko, Cardiff University, Wales, United Kingdom
Giulia Di Nunno, University of Oslo, Norway
• Time-Changed Fractional Ornstein-Uhlenbeck Process, Giacomo Ascione
• Persistence probabilities of fractional processes, Frank Aurzada
• Mild solutions of partial differential equations driven by general stochastic measures,
Iryna Bodnarchuk
• Recent developments in stochastic analysis of Rosenblatt processes, Petr Cˇ oupek
• Rough volatility: SDE driven by Hölder continuous noise and unbounded drift,
Giulia Di Nunno
• Exponential moments of hitting times for time-inhomogeneous atomic Markov chains,
Vitaliy Golomoziy
• Exact spectral asymptotics of fractional processes and its applications, Marina Kleptsyna
• Log-periodically disturbed fractional calculus, Svenja Lage
• The multifaceted behaviour of supOU processes: intermittency, multiscaling in limit
theorems, Nikolai Leonenko
• Self-stabilizing processes, Jacques Levy Vehel
• Fractional integrals, derivatives and integral equations with weighted Takagi-Landsberg
functions, Vitalii Makogin
• Financial markets with a memory, Yuliya Mishura
• On some fractional queues, Enrica Pirozzi
• On recent advancement in limit theory for fractional type processes, Mark Podolskij
• Prabhakar fractional operators and some related stochastic processes, Federico Polito
• On simulation of rough Volterra stochastic volatility models, Jan Pospíšil
• Hypotheses testing of the drift parameter sign for the fractional Ornstein–Uhlenbeck
process, Kostiantyn Ralchenko
• Integration-by-Parts Characterizations of Gaussian Processes, Tommi Sottinen
• On mixed fractional SDEs with discontinuous drift coefficient, Ercan Sönmez
• Prediction of missing functional data with memory, Lauri Viitasaari
• Decomposition formula for rough Volterra stochastic volatility models, Josep Vives
• Approximating expected value of an option with non-Lipschitz payoff in fractional
Heston-type model, Anton Yurchenko Tytarenko
MODELING ROUGHNESS AND LONG-RANGE
DEPENDENCE WITH FRACTIONAL PROCESSES
(MS-18)
Organized by Yuliya Mishura, Taras Shevchenko National University of Kyiv, Ukraine
Coorganized by
Mark Podolskij, Aarhus University, Denmark
Nikolaj Leonenko, Cardiff University, Wales, United Kingdom
Giulia Di Nunno, University of Oslo, Norway
• Time-Changed Fractional Ornstein-Uhlenbeck Process, Giacomo Ascione
• Persistence probabilities of fractional processes, Frank Aurzada
• Mild solutions of partial differential equations driven by general stochastic measures,
Iryna Bodnarchuk
• Recent developments in stochastic analysis of Rosenblatt processes, Petr Cˇ oupek
• Rough volatility: SDE driven by Hölder continuous noise and unbounded drift,
Giulia Di Nunno
• Exponential moments of hitting times for time-inhomogeneous atomic Markov chains,
Vitaliy Golomoziy
• Exact spectral asymptotics of fractional processes and its applications, Marina Kleptsyna
• Log-periodically disturbed fractional calculus, Svenja Lage
• The multifaceted behaviour of supOU processes: intermittency, multiscaling in limit
theorems, Nikolai Leonenko
• Self-stabilizing processes, Jacques Levy Vehel
• Fractional integrals, derivatives and integral equations with weighted Takagi-Landsberg
functions, Vitalii Makogin
• Financial markets with a memory, Yuliya Mishura
• On some fractional queues, Enrica Pirozzi
• On recent advancement in limit theory for fractional type processes, Mark Podolskij
• Prabhakar fractional operators and some related stochastic processes, Federico Polito
• On simulation of rough Volterra stochastic volatility models, Jan Pospíšil
• Hypotheses testing of the drift parameter sign for the fractional Ornstein–Uhlenbeck
process, Kostiantyn Ralchenko
• Integration-by-Parts Characterizations of Gaussian Processes, Tommi Sottinen
• On mixed fractional SDEs with discontinuous drift coefficient, Ercan Sönmez
• Prediction of missing functional data with memory, Lauri Viitasaari
• Decomposition formula for rough Volterra stochastic volatility models, Josep Vives
• Approximating expected value of an option with non-Lipschitz payoff in fractional
Heston-type model, Anton Yurchenko Tytarenko
