On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion (Q404600): Difference between revisions

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-.1016/j.spa.2014.07.001
@@ Property / DOI: 10.1016/j.spa.2014.07.001 / rank @@
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-Paul H. Jung
@@ Property / author: Paul H. Jung / rank @@
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+Paul H. Jung
@@ Property / author: Paul H. Jung / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G22
@@ Property / Mathematics Subject Classification ID: 60G22 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+J55
@@ Property / Mathematics Subject Classification ID: 60J55 / rank @@
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@@ Property / zbMATH DE Number @@
+6339815
@@ Property / zbMATH DE Number: 6339815 / rank @@
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@@ Property / zbMATH Keywords @@
+fractional Brownian motion
@@ Property / zbMATH Keywords: fractional Brownian motion / rank @@
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@@ Property / zbMATH Keywords @@
+self-intersection local time
@@ Property / zbMATH Keywords: self-intersection local time / rank @@
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@@ Property / zbMATH Keywords @@
+Tanaka formula
@@ Property / zbMATH Keywords: Tanaka formula / rank @@
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@@ Property / zbMATH Keywords @@
+Wiener chaos
@@ Property / zbMATH Keywords: Wiener chaos / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+W2164799924
@@ Property / OpenAlex ID: W2164799924 / rank @@
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@@ Property / arXiv ID @@
+.5551
@@ Property / arXiv ID: 1205.5551 / rank @@
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@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion and Applications
+Normal rank
@@ Property / cites work @@
+An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
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+Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
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+A General Fractional White Noise Theory And Applications To Finance
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@@ Property / cites work: Q3244654 / rank @@
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@@ Property / cites work @@
+Q4896047
@@ Property / cites work: Q4896047 / rank @@
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@@ Property / cites work @@
+Self-intersection local time of fractional Brownian motions -- via chaos expansion
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+Renormalized self-intersection local time for fractional Brownian motion
+Normal rank
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+Stochastic integral representation of the \(L^{2}\) modulus of Brownian local time and a central limit theorem
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+Central limit theorem for the third moment in space of the Brownian local time increments
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+The \(\frac{4}{3}\)-variation of the derivative of the self-intersection Brownian local time and related processes
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+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
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+Multiple Wiener integral
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+Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
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+Stochastic calculus for fractional Brownian motion and related processes.
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+Chaos expansions and local times
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+\(p\)-variation of an integral functional driven by fractional Brownian motion
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+Characterizations of the white noise test functionals and hida distributions
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@@ Property / DOI @@
+.1016/J.SPA.2014.07.001
@@ Property / DOI: 10.1016/J.SPA.2014.07.001 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:404600