Pages that link to "Item:Q1304018"
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The following pages link to An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions (Q1304018):
Displayed 50 items.
- Representations of fractional Brownian motion using vibrating strings (Q2575814) (← links)
- Statistical aspects of the fractional stochastic calculus (Q2642746) (← links)
- Malliavin calculus used to derive a stochastic maximum principle for system driven by fractional Brownian and standard Wiener motions with application (Q2660769) (← links)
- Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates (Q2671516) (← links)
- General approach to filtering with fractional brownian noises — application to linear systems (Q2706908) (← links)
- Multiparameter Fractional Brownian Motion And Quasi-Linear Stochastic Partial Differential Equations (Q2747859) (← links)
- Optimal Estimation of a Signal Perturbed by a Fractional Brownian Noise (Q2790684) (← links)
- Boundary non-crossing probabilities for fractional Brownian motion with trend (Q2804017) (← links)
- CONTROLLED DRIFT ESTIMATION IN FRACTIONAL DIFFUSION LINEAR SYSTEMS (Q2841324) (← links)
- Minimum contrast estimation in fractional Ornstein-Uhlenbeck process: Continuous and discrete sampling (Q2853356) (← links)
- Bayesian Sequential Estimation of a Drift of Fractional Brownian Motion (Q2854354) (← links)
- Estimation of change point for switching fractional diffusion processes (Q2875276) (← links)
- Estimation of Drift Parameter and Change Point for Switching Fractional Diffusion Processes (Q2875523) (← links)
- Fractional Diffusion with Partial Observations (Q2890081) (← links)
- A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval (Q2890715) (← links)
- Quantifying Model Uncertainties in Complex Systems (Q2909986) (← links)
- The distance between fractional Brownian motion and the subspace of martingales with “similar” kernels (Q2923381) (← links)
- DISTRIBUTIONS OF QUADRATIC FUNCTIONALS OF THE FRACTIONAL BROWNIAN MOTION BASED ON A MARTINGALE APPROXIMATION (Q2929844) (← links)
- Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent (Q2944728) (← links)
- Large deviations for conditional Volterra processes (Q2974038) (← links)
- Statistical inference on the drift parameter in fractional Brownian motion with a deterministic drift (Q2980146) (← links)
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (Q3043488) (← links)
- PARAMETER ESTIMATION FOR SPDEs WITH MULTIPLICATIVE FRACTIONAL NOISE (Q3069754) (← links)
- Optimal Management of a Variable Annuity Invested in a Black–Scholes Market Driven by a Multidimensional Fractional Brownian Motion (Q3081439) (← links)
- Representation Formulae for the Fractional Brownian Motion (Q3086791) (← links)
- AN INTRODUCTION TO THE THEORY OF SELF-SIMILAR STOCHASTIC PROCESSES (Q3088935) (← links)
- Sequential Estimation for Fractional Ornstein–Uhlenbeck Type Process (Q3155677) (← links)
- Stable Convergence of Certain Functionals of Diffusions Driven by fBm (Q3158138) (← links)
- Fractional Bilinear Stochastic Equations with the Drift in the First Fractional Chaos (Q3158176) (← links)
- Identification for Linear Stochastic Systems Driven by Fractional Brownian Motion (Q3158188) (← links)
- Prediction of fractional Brownian motion with Hurst index less than 1/2 (Q3158805) (← links)
- Integrating Volatility Clustering Into Exponential Lévy Models (Q3182422) (← links)
- Asymptotics of the boundaries in one non-linear optimal stopping problem (Q3305705) (← links)
- On the infinite time horizon linear-quadratic regulator problem under a fractional Brownian perturbation (Q3373739) (← links)
- Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (Q3426320) (← links)
- Regularity conditions and the maximum likelihood estimation in dynamical systems with small fractional Brownian noise (Q3440809) (← links)
- DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION (Q3606614) (← links)
- Premium and reinsurance control of an ordinary insurance system with liabilities driven by a fractional Brownian motion (Q3608232) (← links)
- Stochastic Control System for Mortality Benefits (Q3611812) (← links)
- <i>Q</i>-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market (Q3611813) (← links)
- Solutions of linear and semilinear distributed parameter equations with a fractional Brownian motion (Q3614770) (← links)
- EXISTENCE OF STRONG SOLUTIONS AND UNIQUENESS IN LAW FOR STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION (Q3643576) (← links)
- About the linear-quadratic regulator problem under a fractional Brownian perturbation (Q4405589) (← links)
- Maximum Likelihood Estimation in Partially Observed Stochastic Differential System Driven by a Fractional Brownian Motion (Q4421479) (← links)
- Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet (Q4451790) (← links)
- OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION (Q4467379) (← links)
- Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models (Q4553805) (← links)
- (Q4581306) (← links)
- On the sequential testing and quickest change-point detection problems for Gaussian processes (Q4584692) (← links)
- Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process (Q4618064) (← links)