Cristin-person-ID: 1133105

Anton Yurchenko-Tytarenko

  • Stilling:
    ved Risiko og stokastikk (SEKSJON 3) ved Universitetet i Oslo

Resultater Resultater

Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes.

Mishura, Yuliya; Yurchenko-Tytarenko, Anton. 2022, Stochastics: An International Journal of Probability and Stochastic Processes. KNU, UIOVitenskapelig artikkel

Rough volatility: SDE with unbounded drift driven by Hölder continuous noise.

Nunno, Giulia Di; Yurchenko-Tytarenko, Anton. 2021, ECM8 - Minisymposium in Modeling roughness and long-range dependence with fractional processes. UIOVitenskapelig foredrag

Optimal control in linear stochastic advertising models with memory.

Giordano, Michele; Yurchenko-Tytarenko, Anton. 2021, 10th General AMaMeF Conference. UIOVitenskapelig foredrag

Volterra Sandwiched Volatility Model.

Nunno, Giulia Di; Mishura, Yuliya; Yurchenko-Tytarenko, Anton. 2021, 10th General Advanced Mathematical Methods for Finance (AMaMeF) Conference. UIOVitenskapelig foredrag

Approximating expected value of an option with non-Lipschitz payoff in fractional Heston-type model.

Nunno, Giulia Di; Mishura, Yuliya; Yurchenko-Tytarenko, Anton. 2021, The 8th European congress of Mathematics. UIOVitenskapelig foredrag
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