Variations of the solution to a stochastic heat equation
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Publication:2460323
DOI10.1214/009117907000000196zbMath1135.60041arXivmath/0601007OpenAlexW3099156809MaRDI QIDQ2460323
Publication date: 14 November 2007
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0601007
Brownian motionstochastic heat equationlong-range dependencestochastic integrationself-similar processSPDEsquartic variationmodified quadratic variation
Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Self-similar stochastic processes (60G18) Functional limit theorems; invariance principles (60F17)
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Cites Work
- A functional central limit theorem for weakly dependent sequences of random variables
- Asymptotic error distributions for the Euler method for stochastic differential equations
- Forward, backward and symmetric stochastic integration
- Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
- Solutions of stochastic partial differential equations considered as Dirichlet processes
- The generalized covariation process and Itô formula
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
- Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
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