Stochastic analysis, rough path analysis and fractional Brownian motions.

DOI10.1007/S004400100158zbMath1047.60029OpenAlexW1973898185WikidataQ56689333 ScholiaQ56689333MaRDI QIDQ1862500

Zhongmin Qian, Laure Coutin

Publication date: 2002

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400100158

zbMATH Keywords

stochastic differential equationfractional Brownian motionGaussian processMalliavin calculusrough path

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Rough paths (60L20)

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