The generalized Bouleau-Yor identity for a sub-fractional Brownian motion (Q2441133): Difference between revisions

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scientific article; zbMATH DE number 6330207

The Bouleau–Yor identity for a bi-fractional Brownian motion

Language	Label	Description	Also known as
English	The generalized Bouleau-Yor identity for a sub-fractional Brownian motion	scientific article; zbMATH DE number 6330207	The Bouleau–Yor identity for a bi-fractional Brownian motion

Statements

instance of

scholarly article

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title

The generalized Bouleau-Yor identity for a sub-fractional Brownian motion (English)

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The Bouleau–Yor identity for a bi-fractional Brownian motion (English)

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Science China. Mathematics

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Stochastics

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publication date

21 March 2014

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14 August 2014

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full work available at URL

https://arxiv.org/abs/1212.6347

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zbMATH Keywords

sub-fractional Brownian motion

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Malliavin calculus

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local time

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Itô's formula

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quadratic covariation

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bi-fractional Brownian motion

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stochastic integration

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Itô formula

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MaRDI profile type

MaRDI publication profile

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cites work

Stochastic calculus with respect to Gaussian processes

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On Itô's formula for elliptic diffusion processes

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Stochastic Calculus for Fractional Brownian Motion and Applications

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Sub-fractional Brownian motion and its relation to occupation times

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Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems

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Q3933721

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Integration with respect to local time

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Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times

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Two-parameter \(p,q\)-variation paths and integrations of local times

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Quadratic covariation and an extension of Itô's formula

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Rough path integral of local time

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Local time rough path for Lévy processes

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Approximation at first and second order of {\(m\)}-order integrals of the fractional {B}rownian motion and of certain semimartingales

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Milstein's type schemes for fractional SDEs

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Occupation densities

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Integral transformations and anticipative calculus for fractional Brownian motions

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CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS

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Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion

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Quadratic covariation and Itô's formula for smooth nondegenerate martingales

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Stochastic calculus for fractional Brownian motion and related processes.

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Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion

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The Malliavin Calculus and Related Topics

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A change-of-variable formula with local time on curves

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Local time and stochastic area integrals

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Ito formula for \(C^ 1\)-functions of semimartingales

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Q3141895

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Remarks on sub-fractional Bessel processes

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Remarks on an integral functional driven by sub-fractional Brownian motion

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Q3629282

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Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)

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On the collision local time of sub-fractional Brownian motions

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Q2787467

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Some remarks on local time-space calculus

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Identifiers

zbMATH Open document ID

1291.60078

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1319.60083

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DOI

10.1007/s11425-013-4604-2

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10.1080/17442508.2013.797424

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2441133

@@ Property / cites work @@
+Stochastic calculus with respect to Gaussian processes
+Normal rank
@@ Property / cites work @@
+On Itô's formula for elliptic diffusion processes
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion and Applications
+Normal rank
@@ Property / cites work @@
+Sub-fractional Brownian motion and its relation to occupation times
+Normal rank
@@ Property / cites work @@
+Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
+Normal rank
@@ Property / cites work @@
+Q3933721
@@ Property / cites work: Q3933721 / rank @@
+Normal rank
@@ Property / cites work @@
+Integration with respect to local time
@@ Property / cites work: Integration with respect to local time / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized Itǒ Formulae and Space-Time Lebesgue–Stieltjes Integrals of Local Times
+Normal rank
@@ Property / cites work @@
+Two-parameter \(p,q\)-variation paths and integrations of local times
+Normal rank
@@ Property / cites work @@
+Quadratic covariation and an extension of Itô's formula
+Normal rank
@@ Property / cites work @@
+Rough path integral of local time
@@ Property / cites work: Rough path integral of local time / rank @@
+Normal rank
@@ Property / cites work @@
+Local time rough path for Lévy processes
@@ Property / cites work: Local time rough path for Lévy processes / rank @@
+Normal rank
@@ Property / cites work @@
+Approximation at first and second order of {\(m\)}-order integrals of the fractional {B}rownian motion and of certain semimartingales
+Normal rank
@@ Property / cites work @@
+Milstein's type schemes for fractional SDEs
@@ Property / cites work: Milstein's type schemes for fractional SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Occupation densities
@@ Property / cites work: Occupation densities / rank @@
+Normal rank
@@ Property / cites work @@
+Integral transformations and anticipative calculus for fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
+Normal rank
@@ Property / cites work @@
+Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Quadratic covariation and Itô's formula for smooth nondegenerate martingales
+Normal rank
@@ Property / cites work @@
+Stochastic calculus for fractional Brownian motion and related processes.
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+A change-of-variable formula with local time on curves
+Normal rank
@@ Property / cites work @@
+Local time and stochastic area integrals
@@ Property / cites work: Local time and stochastic area integrals / rank @@
+Normal rank
@@ Property / cites work @@
+Ito formula for \(C^ 1\)-functions of semimartingales
+Normal rank
@@ Property / cites work @@
+Q3141895
@@ Property / cites work: Q3141895 / rank @@
+Normal rank
@@ Property / cites work @@
+Remarks on sub-fractional Bessel processes
@@ Property / cites work: Remarks on sub-fractional Bessel processes / rank @@
+Normal rank
@@ Property / cites work @@
+Remarks on an integral functional driven by sub-fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Q3629282
@@ Property / cites work: Q3629282 / rank @@
+Normal rank
@@ Property / cites work @@
+Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
+Normal rank
@@ Property / cites work @@
+On the collision local time of sub-fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Q2787467
@@ Property / cites work: Q2787467 / rank @@
+Normal rank
@@ Property / cites work @@
+Some remarks on local time-space calculus
@@ Property / cites work: Some remarks on local time-space calculus / rank @@
+Normal rank