Pages that link to "Item:Q1304018"
From MaRDI portal
The following pages link to An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions (Q1304018):
Displayed 42 items.
- 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)
- 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)
- Nonlinear Filtering with Fractional Brownian Motion Noise (Q4678745) (← links)
- Sequential Testing for Simple Hypotheses for Processes Driven by Fractional Brownian Motion (Q4681137) (← links)
- CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS (Q4796580) (← links)
- Optimal Sequential Change Detection for Fractional Diffusion-Type Processes (Q4918559) (← links)
- Moderate deviation for parameter estimator in the stochastic parabolic equations with additive fractional Brownian motion (Q5170137) (← links)
- Separation principle in the fractional Gaussian linear-quadratic regulator problem with partial observation (Q5190278) (← links)
- Analysis of the Rosenblatt process (Q5190284) (← links)
- On drift parameter estimation in models with fractional Brownian motion (Q5263966) (← links)
- Optimal Control for Non-Homogeneous Linear Systems Driven by Fractional Noises (Q5305280) (← links)
- ASYMPTOTIC PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR FOR STOCHASTIC PARABOLIC EQUATIONS WITH ADDITIVE FRACTIONAL BROWNIAN MOTION (Q5320884) (← links)
- Parametric estimation for linear stochastic delay differential equations driven by fractional Brownian motion (Q5324852) (← links)
- ∈-upper and lower functions for maximum likelihood estimator for processes driven by fractional Brownian motion (Q5324860) (← links)
- An Infinite-Dimensional Fractional Linear Quadratic Regulator Problem (Q5388156) (← links)
- The Lamperti Transforms of Self-Similar Gaussian Processes and Their Exponentials (Q5413855) (← links)
- A Fractional Donsker Theorem (Q5413864) (← links)
- Instrumental Variable Estimation for Linear Stochastic Differential Equations Driven by Fractional Brownian Motion (Q5430132) (← links)
- On an expansion of random processes in series (Q5430543) (← links)
- NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (Q5455263) (← links)
- Estimation for Translation of a Process Driven by Fractional Brownian Motion (Q5707908) (← links)
- Stochastic calculus with respect to Gaussian processes (Q5917508) (← links)
- Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion (Q5933616) (← links)