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

Revision as of 12:41, 7 July 2024

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

0 references

title

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

0 references

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

0 references

zbMATH Open document ID

1291.60078

0 references

1319.60083

0 references

DOI

10.1007/s11425-013-4604-2

0 references

10.1080/17442508.2013.797424

0 references

0 references

0 references

0 references

0 references

0 references

Science China. Mathematics

0 references

Stochastics

0 references

publication date

21 March 2014

0 references

14 August 2014

0 references

full work available at URL

https://arxiv.org/abs/1212.6347

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

0 references

sub-fractional Brownian motion

0 references

Malliavin calculus

0 references

local time

0 references

Itô's formula

0 references

quadratic covariation

0 references

bi-fractional Brownian motion

0 references

stochastic integration

0 references

Itô formula

0 references

MaRDI profile type

MaRDI publication profile

0 references

0 references

0 references

0 references

Stochastic calculus with respect to Gaussian processes

0 references

On Itô's formula for elliptic diffusion processes

0 references

Stochastic Calculus for Fractional Brownian Motion and Applications

0 references

Sub-fractional Brownian motion and its relation to occupation times

0 references

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

0 references

Q3933721

0 references

Integration with respect to local time

0 references

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

0 references

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

0 references

Quadratic covariation and an extension of Itô's formula

0 references

Rough path integral of local time

0 references

Local time rough path for Lévy processes

0 references

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

0 references

Milstein's type schemes for fractional SDEs

0 references

Occupation densities

0 references

Integral transformations and anticipative calculus for fractional Brownian motions

0 references

CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS

0 references

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

0 references

Quadratic covariation and Itô's formula for smooth nondegenerate martingales

0 references

Stochastic calculus for fractional Brownian motion and related processes.

0 references

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

0 references

The Malliavin Calculus and Related Topics

0 references

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

0 references

Local time and stochastic area integrals

0 references

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

0 references

Q3141895

0 references

Remarks on sub-fractional Bessel processes

0 references

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

0 references

Q3629282

0 references

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

0 references

On the collision local time of sub-fractional Brownian motions

0 references

Q2787467

0 references

Some remarks on local time-space calculus

0 references

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