Pathwise integrals and Itô-Tanaka formula for Gaussian processes (Q300290): Difference between revisions

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@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
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+6598638
@@ Property / zbMATH DE Number: 6598638 / rank @@
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@@ Property / zbMATH Keywords @@
+pathwise stochastic integrals
@@ Property / zbMATH Keywords: pathwise stochastic integrals / rank @@
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@@ Property / zbMATH Keywords @@
+Föllmer integral
@@ Property / zbMATH Keywords: Föllmer integral / rank @@
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@@ Property / zbMATH Keywords @@
+Gaussian processes
@@ Property / zbMATH Keywords: Gaussian processes / rank @@
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@@ Property / zbMATH Keywords @@
+generalized Lebesgue-Stieltjes integral
@@ Property / zbMATH Keywords: generalized Lebesgue-Stieltjes integral / rank @@
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@@ Property / zbMATH Keywords @@
+Itô-Tanaka formula
@@ Property / zbMATH Keywords: Itô-Tanaka formula / rank @@
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@@ Property / zbMATH Keywords @@
+mathematical finance
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+W1968126671
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@@ Property / arXiv ID: 1307.3578 / rank @@
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+On arbitrage and replication in the fractional Black–Scholes pricing model
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@@ Property / cites work @@
+On hedging European options in geometric fractional Brownian motion market model
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@@ Property / cites work @@
+Rate of convergence for discretization of integrals with respect to fractional Brownian motion
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@@ Property / cites work @@
+Q5430704
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+Pricing by hedging and no-arbitrage beyond semimartingales
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+Q5680823
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@@ Property / cites work @@
+Q4725447
@@ Property / cites work: Q4725447 / rank @@
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@@ Property / cites work @@
+Tanaka formula for the fractional Brownian motion.
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@@ Property / cites work @@
+Q3911166
@@ Property / cites work: Q3911166 / rank @@
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@@ Property / cites work @@
+Differential equations driven by fractional Brownian motion
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+Q4226355
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+Q3141895
@@ Property / cites work: Q3141895 / rank @@
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+Introduction to stochastic calculus for finance. A new didactic approach.
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@@ Property / cites work @@
+An inequality of the Hölder type, connected with Stieltjes integration
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@@ Property / cites work @@
+Integration with respect to fractal functions and stochastic calculus. I
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@@ links / mardi / name / links / mardi / name @@
+Publication:300290