Weak and strong discrete-time approximation of fractional SDEs (Q2257577): Difference between revisions

From MaRDI portal
Created claim: Wikidata QID (P12): Q108524135, #quickstatements; #temporary_batch_1711196317277
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Fractional Processes as Models in Stochastic Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Les processus de dirichlet et tant qu'espace de banach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5560061 / rank
 
Normal rank
Property / cites work
 
Property / cites work: An actuarial approach to option pricing under the physical measure and without market assumptions / rank
 
Normal rank
Property / cites work
 
Property / cites work: On non-continuous Dirichlet processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the convergence of Dirichlet processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic analysis of the fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Concrete Functional Calculus / rank
 
Normal rank
Property / cites work
 
Property / cites work: Actuarial Approach to Option Pricing in a Fractional Black–Scholes Model with Time-Dependent Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3911166 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5359835 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence of strong solutions for Itô's stochastic equations via approximations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3774629 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gaussian measures in \(B_p^1\) / rank
 
Normal rank
Property / cites work
 
Property / cites work: The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On weak and strong solutions of an integral equation driven by a continuous \(p\)-semimartingale / rank
 
Normal rank
Property / cites work
 
Property / cites work: On weak solutions of an integral equation driven by a \(p\)-semimartingale of special type / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime / rank
 
Normal rank
Property / cites work
 
Property / cites work: Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic calculus for fractional Brownian motion and related processes. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Brownian motion and martingale-differences / rank
 
Normal rank
Property / cites work
 
Property / cites work: Differential equations driven by fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Fractional Donsker Theorem / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4663402 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Inequalities for the \(\mathbb L^p\) norms of integrals with respect to a fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: On weak approximations of integrals with respect to fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Brownian motion, random walks and binary market models / rank
 
Normal rank
Property / cites work
 
Property / cites work: On arbitrage and replication in the fractional Black–Scholes pricing model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computational Science - ICCS 2004 / rank
 
Normal rank

Latest revision as of 17:31, 9 July 2024

scientific article
Language Label Description Also known as
English
Weak and strong discrete-time approximation of fractional SDEs
scientific article

    Statements

    Weak and strong discrete-time approximation of fractional SDEs (English)
    0 references
    0 references
    0 references
    0 references
    25 February 2015
    0 references
    fractional stochastic differential equations
    0 references
    discrete-time approximations
    0 references
    fractional Brownian motion
    0 references
    Gaussian processes
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references