FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION (Q3519916): Difference between revisions

@@ Property / author @@
-Bernt Øksendal
@@ Property / author: Bernt Øksendal / rank @@
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@@ Property / author: Bernt Øksendal / rank @@
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@@ Property / cites work @@
+White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
+Normal rank
@@ Property / cites work @@
+An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
+Normal rank
@@ Property / cites work @@
+An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion I. Theory
+Normal rank
@@ Property / cites work @@
+A General Fractional White Noise Theory And Applications To Finance
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@@ Property / cites work @@
+\(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
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@@ Property / cites work @@
+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
+Normal rank
@@ Property / cites work @@
+Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Stochastic calculus with anticipating integrands
@@ Property / cites work: Stochastic calculus with anticipating integrands / rank @@
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@@ Property / cites work @@
+Q3534761
@@ Property / cites work: Q3534761 / rank @@
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@@ Property / cites work @@
+Q4492756
@@ Property / cites work: Q4492756 / rank @@
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@@ Property / cites work @@
+Stochastic calculus with respect to continuous finite quadratic variation processes
+Normal rank
@@ Property / cites work @@
+Q3137751
@@ Property / cites work: Q3137751 / rank @@
+Normal rank
@@ Property / cites work @@
+Integration with respect to Fractal Functions and Stochastic Calculus II
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+https://doi.org/10.1142/s0219025708003105
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+W2047275762
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+Publication:3519916