On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\) (Q2301477): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(4 intermediate revisions by 4 users not shown)
Property / DOI
 
Property / DOI: 10.1016/j.spa.2019.04.013 / rank
Normal rank
 
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2944937736 / rank
 
Normal rank
Property / arXiv ID
 
Property / arXiv ID: 1609.07352 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Operators associated with a stochastic differential equation driven by fractional Brownian motions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Taylor expansion for the solution of a stochastic differential equation driven by fractional Brownian motions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Semi-closed form cubature and applications to financial diffusion models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integration of paths, geometric invariants and a generalized Baker-Hausdorff formula / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integration of Paths--A Faithful Representation of Paths by Noncommutative Formal Power Series / rank
 
Normal rank
Property / cites work
 
Property / cites work: Iterated path integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Characteristic functions of measures on geometric rough paths / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic analysis, rough path analysis and fractional Brownian motions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integrability of (Non-)Linear Rough Differential Equations and Integrals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convergence rates for the full Gaussian rough paths / rank
 
Normal rank
Property / cites work
 
Property / cites work: A theory of regularity structures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Differential equations driven by rough signals / rank
 
Normal rank
Property / cites work
 
Property / cites work: Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Cubature on Wiener space / rank
 
Normal rank
Property / cites work
 
Property / cites work: An extension theorem to rough paths / rank
 
Normal rank
Property / cites work
 
Property / cites work: Trees and asymptotic expansions for fractional stochastic differential equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Concentration and exact convergence rates for expected Brownian signatures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Integration with respect to fractal functions and stochastic calculus. I / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.SPA.2019.04.013 / rank
 
Normal rank

Latest revision as of 21:39, 17 December 2024

scientific article
Language Label Description Also known as
English
On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\)
scientific article

    Statements

    On the signature and cubature of the fractional Brownian motion for \(H > \frac{1}{2}\) (English)
    0 references
    24 February 2020
    0 references
    fractional Brownian motion
    0 references
    signature
    0 references
    rate of convergence
    0 references
    sharp decay rate
    0 references
    cubature method
    0 references

    Identifiers

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