Integral transformations and anticipative calculus for fractional Brownian motions (Q3022807): Difference between revisions

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Latest revision as of 08:43, 20 December 2024

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Integral transformations and anticipative calculus for fractional Brownian motions
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    Integral transformations and anticipative calculus for fractional Brownian motions (English)
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    30 June 2005
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    integro-differential transformation
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    probability structure preserving
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    approximation
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    stochastic integral
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    Meyer's inequality
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    \(L_p\) estimate
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    Itô formula
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    integration by parts formula
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    Clark derivative
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    nonliner translation
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    Radon-Nikodym derivative
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    conditioning
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    continuous modification
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    linear quadratic control
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    Riccati equation
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