Correcting Newton-Côtes integrals by Lévy areas (Q2469648): Difference between revisions

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+Stochastic integration with respect to the fractional Brownian motion
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+Arbitrage in fractional Brownian motion models
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+Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
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+Long memory in continuous-time stochastic volatility models
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+Stochastic analysis, rough path analysis and fractional Brownian motions.
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+\(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
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+Curvilinear integrals along enriched paths
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+\(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
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+Differential equations driven by rough signals
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+System Control and Rough Paths
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+Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
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+Differential equations driven by fractional Brownian motion
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+Forward, backward and symmetric stochastic integration
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