FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (Q3043488): Difference between revisions

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+MaRDI publication profile
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+White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
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+Itô's formula with respect to fractional Brownian motion and its application
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+Arbitrage opportunities for a class of Gladyshev processes
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+Chaos decomposition of multiple fractional integrals and applications
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+Stochastic Calculus for Fractional Brownian Motion I. Theory
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+Stochastic analysis of the fractional Brownian motion
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+On the prediction of fractional Brownian motion
@@ Property / cites work: On the prediction of fractional Brownian motion / rank @@
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+Itô-Wiener chaos expansion with exact residual and correlation, variance inequalities
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+Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
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+Solution of a class of singular integral equations
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+Stochastic analysis of fractional brownian motions
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+Q4028298
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+Fractional Brownian Motions, Fractional Noises and Applications
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+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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+On a dual pair of spaces of smooth and generalized random variables
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+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
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+Q3137751
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