Yuliya Mishura | Academic Influence

Yuliya Mishura's AcademicInfluence.com Rankings

Yuliya Mishura

Mathematics

#5146

World Rank

#7267

Historical Rank

Probability Theory

#143

World Rank

#172

Historical Rank

Statistics

#1051

World Rank

#1154

Historical Rank

Measure Theory

#3704

World Rank

#4369

Historical Rank

mathematics Degrees

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Mathematics

Yuliya Mishura's Degrees

PhD Mathematics Taras Shevchenko National University of Kyiv
Doctorate Mathematics Taras Shevchenko National University of Kyiv

Why Is Yuliya Mishura Influential?

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According to Wikipedia, Yuliya Stepanivna Mishura is a Ukrainian mathematician specializing in probability theory and mathematical finance. She is a professor at the Taras Shevchenko National University of Kyiv. Education and career Mishura earned a Ph.D. in 1978 from the Taras Shevchenko National University of Kyiv with a dissertation on Limit Theorems for Functionals from Stochastic Fields supervised by Dmitrii Sergeevich Silvestrov. She earned a Dr. Sci. from the National Academy of Sciences of Ukraine in 1990 with a dissertation Martingale Methods in the Theory of Stochastic Fields.

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Yuliya Mishura's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Existence and uniqueness theorems for solutions of McKean–Vlasov stochastic equations (2016) (132)
On drift parameter estimation in models with fractional Brownian motion (2011) (57)
Mixed stochastic differential equations with long-range dependence: Existence, uniqueness and convergence of solutions (2011) (48)
Parameter Estimation in Fractional Diffusion Models (2018) (40)
Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (2006) (38)
On hedging European options in geometric fractional Brownian motion market model (2009) (33)
Fractional Lévy Processes as a Result of Compact Interval Integral Transformation (2010) (32)
Bounds for expected maxima of Gaussian processes and their discrete approximations (2015) (30)
The rate of convergence of Hurst index estimate for the stochastic differential equation (2012) (28)
Fractional Cox–Ingersoll–Ross process with non-zero «mean» (2018) (26)
Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index $H\in(0,\frac12)$ (2015) (26)
Asymptotic behavior of mixed power variations and statistical estimation in mixed models (2013) (24)
Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications (2019) (21)
Weak solutions for stochastic differential equations with additive fractional noise (2004) (19)
Random variables as pathwise integrals with respect to fractional Brownian motion (2011) (18)
Theory and Statistical Applications of Stochastic Processes (2018) (18)
Statistics of stochastic processes (2010) (18)
Approximation Schemes for Stochastic Differential Equations in Hilbert Space (2007) (18)
Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process (2017) (18)
Hypothesis testing of the drift parameter sign for fractional Ornstein-Uhlenbeck process (2016) (17)
Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility (2004) (15)
On (signed) Takagi–Landsberg functions: pth variation, maximum, and modulus of continuity (2018) (15)
Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth (2016) (15)
Constructing functions with prescribed pathwise quadratic variation (2015) (14)
Stochastic differential equations driven by a Wiener process and fractional Brownian motion: Convergence in Besov space with respect to a parameter (2011) (14)
Asymptotic Properties of Drift Parameter Estimator Based on Discrete Observations of Stochastic Differential Equation Driven by Fractional Brownian Motion (2013) (14)
Theory of Stochastic Processes: With Applications to Financial Mathematics and Risk Theory (2009) (13)
Rate of convergence of Euler approximations of solution to mixed stochastic differential equation involving Brownian motion and fractional Brownian motion (2011) (13)
Time-changed fractional Ornstein-Uhlenbeck process (2019) (12)
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation (2016) (12)
Maximum likelihood drift estimation for the mixing of two fractional Brownian motions (2015) (12)
Fractional Cox–Ingersoll–Ross process with small Hurst indices (2018) (11)
Boundary non-crossing probabilities for fractional Brownian motion with trend (2013) (11)
Existence and uniqueness of a mild solution to the stochastic heat equation with white and fractional noises (2018) (11)
Boundary noncrossings of additive Wiener fields∗ (2014) (11)
Construction of maximum likelihood estimator in the mixed fractional--fractional Brownian motion model with double long-range dependence (2015) (11)
Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations (2012) (11)
Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process (2015) (11)
An extension of the Lévy characterization to fractional Brownian motion (2006) (11)
Pricing the European call option in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Exact formulas (2015) (10)
Theory of Stochastic Processes (2010) (10)
Differentiability of Fractional Integrals Whose Kernels Contain Fractional Brownian Motions (2001) (9)
Standard maximum likelihood drift parameter estimator in the homogeneous diffusion model is always strongly consistent (2013) (9)
Approximation of Fractional Brownian Motion by Martingales (2012) (8)
Martingale transforms and Girsanov theorem for long-memory Gaussian processes (2001) (8)
New and refined bounds for expected maxima of fractional Brownian motion (2016) (8)
On the distribution of integral functionals of a homogeneous diffusion process (2014) (7)
Asymptotic properties of non-standard drift parameter estimators in the models involving fractional Brownian motion (2017) (7)
European call option issued on a bond governed by a geometric or a fractional geometric Ornstein-Uhlenbeck process (2014) (7)
Option pricing in the model with stochastic volatility driven by Ornstein--Uhlenbeck process. Simulation (2015) (6)
APPROXIMATING EXPECTED VALUE OF AN OPTION WITH NON-LIPSCHITZ PAYOFF IN FRACTIONAL HESTON-TYPE MODEL (2020) (6)
The rate of convergence of option prices on the asset following a geometric Ornstein–Uhlenbeck process (2015) (6)
Fractional Brownian Motion (2019) (6)
The rate of convergence of option prices when general martingale discrete-time scheme approximates the Black-Scholes model (2015) (6)
Quasi-linear stochastic differential equations with a fractional Brownian component (2004) (6)
On pricing and hedging in financial markets with long-range dependence (2011) (6)
Convergence of solutions of mixed stochastic delay differential equations with applications (2014) (5)
Exponential formula and Girsanov theorem for mixed semilinear stochastic differential equations. (2001) (5)
Estimation of the ruin probability of an insurance company operating on a BS-market (2007) (5)
Example of a Gaussian Self-Similar Field With Stationary Rectangular Increments That Is Not a Fractional Brownian Sheet (2014) (5)
Drift Parameter Estimation in Diffusion and Fractional Diffusion Models (2017) (5)
Standard and fractional reflected Ornstein–Uhlenbeck processes as the limits of square roots of Cox–Ingersoll–Ross processes (2021) (5)
Limit theorems for additive functionals of continuous time random walks (2019) (5)
A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval (2011) (5)
The rate of convergence of estimate for Hurst index of fractional Brownian motion involved into stochastic differential equation (2011) (5)
High-frequency trading with fractional Brownian motion (2019) (5)
Maximum likelihood drift estimation for Gaussian process with stationary increments (2016) (5)
Dividend Barrier Strategies in A Renewal Risk Model with Generalized Erlang Interarrival Times (2012) (4)
Fractional stochastic heat equation with piecewise constant coefficients (2019) (4)
Practical approaches to the estimation of the ruin probability in a risk model with additional funds (2015) (4)
Optimization of small deviation for mixed fractional Brownian motion with trend (2018) (4)
Sandwiched SDEs with unbounded drift driven by Hölder noises (2020) (4)
Optimal Stopping for Lévy Processes with One-Sided Solutions (2016) (4)
Small ball properties and representation results (2015) (4)
How Does Tempering Affect the Local and Global Properties of Fractional Brownian Motion? (2020) (4)
Existence and uniqueness of solutions of stochastic differential equations with non-Lipschitz diffusion and Poisson measure (2010) (4)
Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise (2016) (4)
The Optimal Time to Exchange one Asset for Another on Finite Interval (2009) (4)
Weak convergence of integral functionals of random walks weakly convergent to fractional Brownian motion (2007) (4)
On mean-variance hedging under partial observations and terminal wealth constraints (2017) (3)
Functional limit theorems for stochastic integrals with applications to risk processes and to self-financing strategies in a multidimensional market. I (2010) (3)
Ruin Probabilities: Smoothness, Bounds, Supermartingale Approach (2016) (3)
Replication of Wiener-Transformable Stochastic Processes with Application to Financial Markets with Memory (2017) (3)
Two methods of estimation of the drift parameters of the Cox–Ingersoll–Ross process: Continuous observations (2020) (3)
Maximum likelihood estimation for Gaussian process with nonlinear drift (2018) (3)
Gaussian processes with Volterra kernels (2020) (3)
Rate of convergence of option prices by using the method of pseudomoments (2016) (3)
Stochastic Processes with Independent Increments (2017) (3)
On mild and weak solutions for stochastic heat equations with piecewise-constant conductivity (2020) (3)
Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend (2021) (3)
The rate of convergence of the Euler scheme to the solution of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion (2011) (3)
The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels (2014) (3)
An application of the Malliavin calculus for calculating the precise and approximate prices of options with stochastic volatility (2017) (3)
Modern Stochastics and Applications (2014) (3)
Stability Estimates for Finite-Dimensional Distributions of Time-Inhomogeneous Markov Chains (2020) (3)
The rate of convergence to the normal law in terms of pseudomoments (2015) (2)
Ruin probability in a risk model with a variable premium intensity and risky investments (2014) (2)
Perpetual integral functionals of multidimensional stochastic processes (2020) (2)
The Fokker-Planck equation for the time-changed fractional Ornstein-Uhlenbeck process (2020) (2)
Drift Parameter Estimation in the Models Involving Fractional Brownian Motion (2016) (2)
Drift parameter estimation in stochastic differential equation with multiplicative stochastic volatility (2016) (2)
Drift-implicit Euler scheme for sandwiched processes driven by Hölder noises (2022) (2)
Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility (2016) (2)
Small deviations for mixed fractional Brownian motion with trend and with Hurst index H>1/2 (2020) (2)
New bounds for expected maxima of fractional Brownian motion (2016) (2)
General Conditions of Weak Convergence of Discrete-Time Multiplicative Scheme to Asset Price with Memory (2020) (2)
Approximate solutions to anticipative stochastic differential equations (2008) (2)
Optimal stopping for Levy processes with polynomial rewards (2015) (2)
Asymptotic Analysis of Unstable Solutions of Stochastic Differential Equations (2020) (2)
Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent (2015) (2)
On differentiability of solution to stochastic differential equation with fractional Brownian motion (2007) (1)
Strong limit theorems for anisotropic self-similar fields (2014) (1)
Discrete-Time Approximations and Limit Theorems (2021) (1)
Fractional integrals, derivatives and integral equations with weighted Takagi-Landsberg functions (2020) (1)
Approximate solution of the integral equations involving kernel with additional singularity (2020) (1)
Fractional and Sub-fractional Brownian Motions (2018) (1)
Stochastic integrals and stochastic differential equations with respect to the fractional Brownian field (2008) (1)
Asymptotic Properties of an Intensity Estimator of an Inhomogeneous Poisson Process in a Combined Model (2000) (1)
Convergence results for the time-changed fractional Ornstein–Uhlenbeck processes (2020) (1)
Option pricing in Volterra sandwiched volatility model (2022) (1)
Rate of convergence in the Euler scheme for stochastic differential equations with non-Lipschitz diffusion and Poisson measure (2011) (1)
Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications (2019) (1)
Continuous dependence of solutions of stochastic differential equations driven by standard and fractional Brownian motion on a parameter (2011) (1)
Parameter estimation in CKLS model by continuous observations (2021) (1)
A bounded arbitrage strategy for a multiperiod model of a financial market in discrete time (2008) (1)
Rate of convergence of option prices for approximations of the geometric Ornstein–Uhlenbeck process by Bernoulli jumps of prices on assets (2017) (1)
An estimate of the rate of convergence of an approximating scheme applied to a stochastic differential equation with an additional parameter (2011) (1)
Gaussian Volterra processes with power-type kernels. Part I (2022) (1)
Gaussian multi-self-similar random fields with distinct stationary properties of their rectangular increments (2019) (1)
Maximal upper bounds for the moments of stochastic integrals and solutions of stochastic differential equations with respect to fractional Brownian motion with Hurst index <1/2. II (2008) (1)
Convergence with respect to the parameter of a series and the differentiability of barrier option prices with respect to the barrier (2010) (1)
Prediction and interpolation (2010) (1)
Convexity and robustness of the Rényi entropy (2021) (1)
Stochastic differential equations with generalized stochastic volatility and statistical estimators (2018) (1)
Distance from fractional Brownian motion with associated Hurst index 0<</mo>H<</mo>1/2 to the subspaces of Gaussian martingales involving power integrands with an arbitrary positive exponent (2020) (1)
Functional limit theorems for stochastic integrals with applications to risk processes and to value processes of self-financing strategies in a multidimensional market. II (2011) (1)
Asymptotic behavior of mixed power variations and statistical estimation in mixed models (2014) (1)
Mixed Fractional and Mixed Sub-fractional Brownian Motions (2018) (1)
Statistical estimation by power variations in mixed models (2013) (1)
An Exponential Cox-Ingersoll-Ross Process as Discounting Factor (2018) (1)
Analytical and Computational Problems Related to Fractional Gaussian Noise (2022) (1)
Sandwiched processes driven by Hölder noises (2020) (1)
Measures in a functional spaces. Weak convergence, probability metrics. Functional limit theorems (2010) (0)
Optimal Control by the Franchise and Deductible Amounts in the Classical Risk Model (2017) (0)
Preface (2011) (0)
Stochastic processes in financial mathematics (discrete time) (2010) (0)
Optimal stopping of random sequences and processes (2010) (0)
Optimising dividends and consumption under an exponential CIR as a discount factor (2020) (0)
Trajectories. Modifications. Filtrations (2010) (0)
Filtering Problem. Kalman-Bucy Filter (2017) (0)
How does tempering affect the local and global Ehsan Azmoodeh ? Yuliya Mishura {\dag} Farzad Sabzikarproperties of fractional Brownian motion? (2020) (0)
PR ] 1 J ul 2 01 9 LIMIT THEOREMS FOR ADDITIVE FUNCTIONALS OF CONTINUOUS TIME RANDOM WALKS (0)
Classical Risk Model with Investments in a Risk-Free Asset (2017) (0)
On the distribution of local times and integral functionals of a homogeneous diffusion process (2013) (0)
Basic functionals of the risk theory (2010) (0)
Markov and diffusion processes (2010) (0)
Linear equations and stochastic exponents in a Hilbert space (2005) (0)
Gaussian Volterra processes: Asymptotic growth and statistical estimation (2023) (0)
Risk Models with Investments in Risk-Free and Risky Assets (2017) (0)
Rate of convergence of discretized drift parameters estimators in the Cox–Ingersoll–Ross model (2023) (0)
Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend (2021) (0)
Markov chains: Discrete and continuous time (2010) (0)
Optimal filtration in systems with noise modeled by a polynomial of fractional Brownian motion (2006) (0)
The Fokker–Planck equation for the time-changed fractional Ornstein–Uhlenbeck stochastic process (2021) (0)
Martingales and related processes in discrete and continuous time. Stopping times (2010) (0)
Other titles from iSTE in Mathematics and Statistics (2017) (0)
Asymptotic expansion of an estimator for the Hurst coefficient (2022) (0)
The Hurst Index Estimators for a Fractional Brownian Motion (2017) (0)
Definition of stochastic process. Cylinder σ-algebra, finite-dimensional distributions, the Kolmogorov theorem (2010) (0)
Martingales and Related Processes (2017) (0)
Multiparameter Generalizations of the Dalang–Morton– Willinger Theorem (2006) (0)
Continuity. Differentiability. Integrability (2010) (0)
On properties of compensators and i-compensators of coordinate point processes on a plane (1995) (0)
Anatolii Volodymyrovych Skorokhod (1930–2011) (2012) (0)
Asymptotic Behavior of Homogeneous Additive Functionals Defined on the Solutions of Itô SDEs with Non-regular Dependence on a Parameter (2020) (0)
Construction, Properties and Some Functionals of the Wiener Process and Fractional Brownian Motion (2017) (0)
Rate of convergence of the price of European option on a market for which the jump of stock price is uniformly distributed over an interval (2008) (0)
The $\alpha$-stable time-changed fractional Ornstein-Uhlenbeck process (2020) (0)
Editorial (2014) (0)
The weak convergence of Greek symbols for prices of European options: from discrete time to continuous (2015) (0)
Stochastic Viability and Comparison Theorems for Mixed Stochastic Differential Equations (2013) (0)
Stochastic Processes. General Properties. Trajectories, Finite-dimensional Distributions (2017) (0)
On stocks and interest rates modeling in long-range dependent environment (2014) (0)
Low-dimensional Cox-Ingersoll-Ross process (2023) (0)
Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics (2020) (0)
Distance between the fractional Brownian motion and the space of adapted Gaussian martingales (2019) (0)
Regularity of Trajectories of Stochastic Processes (2017) (0)
Gaussian Processes. Integration with Respect to Gaussian Processes (2017) (0)
Asymptotic Behavior of Integral Functionals of Stochastically Unstable Solutions (2020) (0)
The Extended Orey Index for Gaussian Processes (2017) (0)
Asymptotic growth of trajectories of multifractional Brownian motion, with statistical applications to drift parameter estimation (2016) (0)
Asymptotic Analysis of Equations with Ergodic and Stochastically Unstable Solutions (2020) (0)
Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence (2012) (0)
Characteristics of a stochastic process. Mean and covariance functions. Characteristic functions (2010) (0)
Estimation of the Hurst Index from the Solution of a Stochastic Differential Equation (2017) (0)
Ju l 2 01 9 LIMIT THEOREMS FOR ADDITIVE FUNCTIONALS OF CONTINUOUS TIME RANDOM WALKS (0)
Bounds and large deviation results for boundary non-crossing probabilities of Gaussian processes (2019) (0)
Option pricing in fractional Heston-type model (2019) (0)
Asymptotic Behavior of Homogeneous Additive Functionals of the Solutions to Inhomogeneous Itô SDEs with Non-regular Dependence on a Parameter (2020) (0)
Divergence of an integral of a process with small ball estimate (2021) (0)
Stochastic differential equations (2010) (0)
1 – Financial Markets with Discrete Time (2016) (0)
The Itô formula for fractional Brownian fields (2004) (0)
Workshop “Fractality and Fractionality” (2016) (0)
Parameter estimation in the models with long-range dependence (2013) (0)
Risk Model with Stochastic Premiums Investments in a Risk-Free Asset (2017) (0)
Approximation of Fractional Brownian Motion by Martingales (2012) (0)
The existence and properties of local time of the Skorohod integral (1993) (0)
Risk Model with Variable Premium Intensity and Investments in One Risk-Free and a Few Risky Assets (2017) (0)
Selected Facts from Calculus, Measure Theory and the Theory of Operators (2017) (0)
Renewal theory. Queueing theory (2010) (0)
PR ] 1 0 A pr 2 01 6 Hypothesis testing of the drift parameter sign for fractional Ornstein – Uhlenbeck process (2021) (0)
Parameter estimation for Gaussian processes with application to the model with two independent fractional Brownian motions (2017) (0)
2 – Financial Markets with Continuous Time (2016) (0)
Risk Model with Variable Premium Intensity and Investments in One Risky Asset (2017) (0)
Boundary Non-crossing Probabilities of Gaussian Processes: Sharp Bounds and Asymptotics (2019) (0)
The rate of convergence of option prices on the asset following a geometric Ornstein–Uhlenbeck process (2015) (0)
Selected Facts from Probability Theory and Auxiliary Computations for Stochastic Processes (2017) (0)
Stationary discrete- and continuous-time processes. Stochastic integral over measure with orthogonal values (2010) (0)
Asymptotic behaviour and functional limit theorems for a time changed Wiener process (2020) (0)
Stochastic processes in financial mathematics (continuous time) (2010) (0)
Stochastic differential equations driven by additive Volterra-L\'evy and Volterra-Gaussian noises (2020) (0)
Introduction to Unstable Processes and Their Asymptotic Behavior (2020) (0)
PR ] 2 0 Ju l 2 01 9 LIMIT THEOREMS FOR ADDITIVE FUNCTIONALS OF CONTINUOUS TIME RANDOM WALKS (0)
Parameter Estimation in the Mixed Models via Power Variations (2017) (0)
Choosing an Optimal Switching Moment on the Financial Market with Alternative Strategies (Semimartingale Approach) (2001) (0)
Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index (2023) (0)
Optimising dividends and consumption under an exponential CIR as a discount factor (2020) (0)
ANOTHER APPROACH TO THE PROBLEM OF THE RUIN PROBABILITY ESTIMATE FOR RISK PROCESS WITH INVESTMENTS (2008) (0)
Utility maximization in Wiener-transformable markets (2015) (0)
Stochastic processes with independent increments. Wiener and Poisson processes. Poisson point measures (2010) (0)
Convergence of Unstable Solutions of SDEs to Homogeneous Markov Processes with Discontinuous Transition Density (2020) (0)
On the ruin probability in a risk model with a variable premium intensity (2014) (0)
BOUNDARY NON-CROSSINGS OF ADDITIVE WIENER FIELDS 1 (2014) (0)
Boundary noncrossings of additive Wiener fields∗ (2014) (0)
Classical Results on the Ruin Probabilities (2017) (0)
Fractional diffusion Bessel processes with Hurst index $H\in(0,\frac12)$ (2023) (0)
Numerical approach to the drift parameter estimation in the model with two fractional Brownian motions (2022) (0)
Risk Model with Variable Premium Intensity and Investments in One Risky Asset up to the Stopping Time of Investment Activity (2017) (0)
Description and Properties of the Basic Stochastic Models (2017) (0)
How Does Tempering Affect the Local and Global Properties of Fractional Brownian Motion? (2021) (0)
Organizing Committee Giulia Di Nunno Ryan Donnelly Damir Filipovic Yaroslav Melnyk Sergio Pulido Administrative Assistance (2015) (0)
Option Pricing with Fractional Stochastic Volatility and Discontinuous Payoff Function of Polynomial Growth (2018) (0)
Elements of fractional calculus. Fractional integrals (2022) (0)
Long-range dependence in finance (2013) (0)
Classical Risk Model with a Franchise and a Liability Limit (2017) (0)
Limit behavior of the prices of a barrier option in the Black–Scholes model with random drift and volatility (2012) (0)

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What Schools Are Affiliated With Yuliya Mishura?

Yuliya Mishura is affiliated with the following schools:

Taras Shevchenko National University of Kyiv