A note on the continuity in the hurst index of the solution of rough differential equations driven by a fractional brownian motion (Q5155321): Difference between revisions

Latest revision as of 18:40, 26 July 2024

scientific article; zbMATH DE number 7407257

Language	Label	Description	Also known as
English	A note on the continuity in the hurst index of the solution of rough differential equations driven by a fractional brownian motion	scientific article; zbMATH DE number 7407257

Statements

instance of

scholarly article

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title

A note on the continuity in the hurst index of the solution of rough differential equations driven by a fractional brownian motion (English)

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author

Francesco C. De Vecchi

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Stochastic Analysis and Applications

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publication date

6 October 2021

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full work available at URL

https://arxiv.org/abs/2002.05281

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zbMATH Keywords

continuity

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Hurst parameters

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fractional Brownian motion

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rough path

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MaRDI profile type

MaRDI publication profile

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cites work

The role of fractional calculus in modeling biological phenomena: a review

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Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion

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Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter

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Parameter estimation in fractional diffusion models

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Estimation of Hurst exponent revisited

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A course on rough paths. With an introduction to regularity structures

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Multidimensional Stochastic Processes as Rough Paths

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SPDEs with fractional noise in space: continuity in law with respect to the Hurst index

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Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives

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A note on higher dimensional \(p\)-variation

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Controlling rough paths

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Differential equations driven by rough signals

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Identifiers

zbMATH Open document ID

1471.60084

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DOI

10.1080/07362994.2020.1830111

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5155321

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@@ Property / arXiv ID: 2002.05281 / rank @@
+Normal rank
@@ Property / cites work @@
+The role of fractional calculus in modeling biological phenomena: a review
+Normal rank
@@ Property / cites work @@
+Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
+Normal rank
@@ Property / cites work @@
+Parameter estimation in fractional diffusion models
+Normal rank
@@ Property / cites work @@
+Estimation of Hurst exponent revisited
@@ Property / cites work: Estimation of Hurst exponent revisited / rank @@
+Normal rank
@@ Property / cites work @@
+A course on rough paths. With an introduction to regularity structures
+Normal rank
@@ Property / cites work @@
+Multidimensional Stochastic Processes as Rough Paths
+Normal rank
@@ Property / cites work @@
+SPDEs with fractional noise in space: continuity in law with respect to the Hurst index
+Normal rank
@@ Property / cites work @@
+Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives
+Normal rank
@@ Property / cites work @@
+A note on higher dimensional \(p\)-variation
@@ Property / cites work: A note on higher dimensional \(p\)-variation / rank @@
+Normal rank
@@ Property / cites work @@
+Controlling rough paths
@@ Property / cites work: Controlling rough paths / rank @@
+Normal rank
@@ Property / cites work @@
+Differential equations driven by rough signals
@@ Property / cites work: Differential equations driven by rough signals / rank @@
+Normal rank