← All authors Kostiantyn Ralchenko University of Vaasa (from arXiv:2509.03208, 2025) · ORCID · OpenAlex
53 papers in scope · 52 published · 1 on the econ.EM arXiv · 217 citations · h-index 8 (over the papers listed here)
Papers (1 of 53)
Entropies of Cox–Ingersoll–Ross and Bessel processes as functions of time and of related parameters
published 2026 · Theory of Probability and Mathematical Statistics
with Ivan Kucha, Yuliya Mishura
Editorial
published 2026 · Modern Stochastics Theory and Applications
with Wolfgang Bock, Kȩstutis Kubilius, Yuliya Mishura
Drift parameter estimation for tempered fractional Ornstein–Uhlenbeck processes based on discrete observations
published 2025 · Modern Stochastics Theory and Applications
with Olha Prykhodko
Gatheral double stochastic volatility model with Skorokhod reflection
published 2025 · Theory of Probability and Mathematical Statistics
with Yuliya Mishura, Andrey Pilipenko
working paper 2025 · arXiv
Fractional Gaussian Noise: Projections, Prediction, Norms
published 2025 · Fractal and Fractional · first circulated 2024
with Iryna Bodnarchuk, Yuliya Mishura
Discretization of integrals driven by multifractional Brownian motions with discontinuous integrands
published 2025 · Journal of Theoretical Probability · first circulated 2024
Asymptotic Properties of Parameter Estimators in~Vasicek Model Driven by Tempered Fractional Brownian Motion
published 2025 · Austrian Journal of Statistics · 1 citations · first circulated 2024
with Yuliya Mishura, Olena Dehtiar
Driven by Brownian motion Cox–Ingersoll–Ross and squared Bessel processes: Interaction and phase transition
published 2025 · Physics of Fluids · 2 citations · first circulated 2024
with Yuliya Mishura, Svitlana Kushnirenko
Asymptotic normality of estimators for all parameters in the Vasicek model by discrete observations
published 2024 · Theory of Probability and Mathematical Statistics · 2 citations
with Olha Prykhodko
Editorial
published 2024 · Theory of Probability and Mathematical Statistics
with Benjamin Arras, Antoine Ayache, Julien Hamonier, Thomas Simon, Ciprian A. Tudor, Yuliya Mishura
Asymptotic Growth of Sample Paths of Tempered Fractional Brownian Motions, with Statistical Applications to Vasicek-Type Models
published 2024 · Fractal and Fractional · 3 citations
with Yuliya Mishura
Properties of the entropic risk measure EVaR in relation to selected distributions
published 2024 · Modern Stochastics Theory and Applications · 3 citations
with Yuliya Mishura, Petro Zelenko, Volodymyr Zubchenko
Editorial
published 2024 · Modern Stochastics Theory and Applications
with Kęstutis Kubilius
Parameter estimation for fractional mixed fractional Brownian motion based on discrete observations
published 2023 · Modern Stochastics Theory and Applications · 2 citations
with Mykyta Yakovliev
Fractional diffusion Bessel processes with Hurst index H ∈ ( 0 , 1 2 )
published 2023 · Statistics & Probability Letters · 1 citations
with Yuliya Mishura
Asymptotic Normality of Parameter Estimators for~Mixed Fractional Brownian Motion with Trend
published 2023 · Austrian Journal of Statistics · 1 citations
with Mykyta Yakovliev
Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index
published 2023 · Fractional Calculus and Applied Analysis · 4 citations
with Anatoliy Malyarenko, Yuliya Mishura, Sergiy Shklyar
Gaussian Volterra processes: Asymptotic growth and statistical estimation
published 2023 · Theory of Probability and Mathematical Statistics · 7 citations
with Yuliya Mishura, Sergiy Shklyar
Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model
published 2023 · Communication in Statistics-Theory and Methods · 2 citations
with Oksana Chernova, Olena Dehtiar, Yuliya Mishura
Parameter estimation in mixed fractional stochastic heat equation
published 2023 · Modern Stochastics Theory and Applications
with Diana Avetisian
Asymptotically normal estimation of parameters of mixed fractional Brownian motion
published 2023 · Bulletin of Taras Shevchenko National University of Kyiv Series Physics and Mathematics
with Mykyta Yakovliev
Analytical and Computational Problems Related to Fractional Gaussian Noise
published 2022 · Fractal and Fractional · 3 citations
with Yuliya Mishura, René L. Schilling
Numerical approach to the drift parameter estimation in the model with two fractional Brownian motions
published 2022 · Communications in Statistics - Simulation and Computation · 1 citations
with Yuliya Mishura, H. S. Zhelezniak
Parameter estimation in CKLS model by continuous observations
published 2022 · Statistics & Probability Letters · 9 citations · first circulated 2021
with Yuliya Mishura, Olena Dehtiar
Strongly consistent estimation of all parameters in the Vasicek model by discrete observations
published 2022 · Bulletin of Taras Shevchenko National University of Kyiv Series Physics and Mathematics · 1 citations
with Olha Prykhodko
Stochastic Differential Equations Driven by Additive Volterra–Lévy and Volterra–Gaussian Noises
published 2022 · Springer proceedings in mathematics & statistics · first circulated 2020
with Giulia Di Nunno, Yuliya Mishura
Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation
published 2021 · Theory of Probability and Mathematical Statistics · 2 citations
with Diana Avetisian
Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
published 2021 · Statistical Inference for Stochastic Processes · 7 citations
with Alexander Kukush, Stanislav Lohvinenko, Yuliya Mishura
Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations
published 2021 · Communication in Statistics-Theory and Methods · 1 citations · first circulated 2020
with Olena Dehtiar, Yuliya Mishura
Asymptotic distribution of the maximum likelihood estimator in the fractional Vašíček model
published 2020 · Theory of Probability and Mathematical Statistics · 4 citations
with Stanislav Lohvinenko
Fractional stochastic heat equation with piecewise constant coefficients
published 2020 · Stochastics and Dynamics · 3 citations
with Yuliya Mishura, Mounir Zili, Eya Zougar
General Conditions of Weak Convergence of Discrete-Time Multiplicative Scheme to Asset Price with Memory
published 2020 · Risks · 5 citations
with Yuliya Mishura, Sergiy Shklyar
Ergodic properties of the solution to a fractional stochastic heat equation, with an application to diffusion parameter estimation
published 2020 · Modern Stochastics Theory and Applications · 4 citations
with Diana Avetisian
On mild and weak solutions for stochastic heat equations with piecewise-constant conductivity
published 2019 · Statistics & Probability Letters · 5 citations
with Yuliya Mishura, Mounir Zili
Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises
published 2019 · Theory of Probability and Mathematical Statistics · 1 citations · first circulated 2018
with Yuliya Mishura, Georgiy Shevchenko
Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process
published 2019 · Theory of Probability and Mathematical Statistics · 13 citations · first circulated 2017
with Yuliya Mishura, V. I. Piterbarg, Anton Yurchenko-Tytarenko
Existence and uniqueness of mild solution to fractional stochastic heat equation
published 2018 · Modern Stochastics Theory and Applications · 7 citations
with Georgiy Shevchenko
Stochastic differential equations with generalized stochastic volatility and statistical estimators
published 2018 · Theory of Probability and Mathematical Statistics · 1 citations
with Meriem Bel Hadj Khlifa, Yuliya Mishura, Georgiy Shevchenko, Mounir Zili
Maximum Likelihood Estimation in the Fractional Vasicek Model
published 2017 · Lithuanian Journal of Statistics · 9 citations
with Stanislav Lohvinenko
The rate of convergence of the Hurst index estimate for a stochastic differential equation
published 2017 · Nonlinear Analysis Modelling and Control · 8 citations
with Kęstutis Kubilius, Viktor Skorniakov
Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process
published 2017 · Electronic Journal of Statistics · 1 citations · first circulated 2016
with Alexander Kukush, Yuliya Mishura
Drift Parameter Estimation in the Models Involving Fractional Brownian Motion
published 2017 · Springer proceedings in mathematics & statistics · 4 citations
with Yuliya Mishura
Asymptotic Properties of Parameter Estimators in Fractional Vasicek Model
published 2016 · Lithuanian Journal of Statistics · 7 citations
with Stanislav Lohvinenko, Olga Zhuchenko
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation
published 2016 · Statistical Inference for Stochastic Processes · 2 citations
with Marco Dozzi, Yuriy Kozachenko, Yuliya Mishura
A generalisation of the fractional Brownian field based on non-Euclidean norms
published 2015 · Journal of Mathematical Analysis and Applications · 10 citations
with Ilya Molchanov
Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index $H\in(0,\frac{1}{2})$
published 2015 · Electronic Journal of Statistics · 8 citations
with Kęstutis Kubilius, Yuliya Mishura, Oleg Seleznjev
Multifractional Poisson process, multistable subordinator and related limit theorems
published 2014 · Statistics & Probability Letters · 11 citations
with Ilya Molchanov
On Drift Parameter Estimation in Models with Fractional Brownian Motion by Discrete Observations
published 2014 · Austrian Journal of Statistics · 19 citations
with Yuliya Mishura
Approximation of solutions of stochastic differential equations with fractional Brownian motion by solutions of random ordinary differential equations
published 2011 · Ukrainian Mathematical Journal · 4 citations
with Georgiy Shevchenko
Approximation of multifractional Brownian motion by absolutely continuous processes
published 2011 · Theory of Probability and Mathematical Statistics · 10 citations
Path properties of multifractal Brownian motion
published 2010 · Theory of Probability and Mathematical Statistics · 28 citations
with Georgiy Shevchenko
Two-parameter Garsia--Rodemich--Rumsey inequality and its application to fractional Brownian fields
published 2008 · Theory of Probability and Mathematical Statistics · 1 citations
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