<i>Q</i>-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market (Q3611813): Difference between revisions

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+Christian J. Roth
@@ Property / author: Christian J. Roth / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/07362990802565084
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@@ Property / OpenAlex ID @@
+W1975457217
@@ Property / OpenAlex ID: W1975457217 / rank @@
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@@ Property / cites work @@
+White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
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+Prediction of fractional Brownian motion with Hurst index less than 1/2
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+An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
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+STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE
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+Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise
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+FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
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+A General Fractional White Noise Theory And Applications To Finance
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+A quasilinear stochastic partial differential equation driven by fractional white noise
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+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
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+Stochastic analysis of the fractional Brownian motion
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+A parabolic stochastic differential equation with fractional Brownian motion input
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+On the prediction of fractional Brownian motion
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+OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION
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+Prediction of Fractional Brownian Motion-Type Processes
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+Fractional Brownian Motions, Fractional Noises and Applications
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+Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
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+An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
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+Linear estimation of self-similar processes via Lamperti's transformation
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+Q4301585
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+Q2778406
@@ Property / cites work: Q2778406 / rank @@
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