Fractional Brownian motion and sheet as white noise functionals

DOI10.1007/s10114-005-0734-yzbMath1106.60056OpenAlexW2087106675MaRDI QIDQ2508642

Ying Wu, Chujin Li, Jianping Wan, Zhi Yuan Huang

Publication date: 13 October 2006

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-005-0734-y

zbMATH Keywords

Wick productfractional Girsanov formulafractional white noise functionals

Mathematics Subject Classification ID

Gaussian processes (60G15) White noise theory (60H40) Stochastic integrals (60H05)

Related Items (9)

On fractional stable processes and sheets: white noise approach ⋮ On fractional Brownian motion and wavelets ⋮ Generalized fractional Lévy random fields on Gel'fand triple: a white noise approach ⋮ Fractional Lévy processes on Gel'fand triple and stochastic integration ⋮ Stochastic calculus for fractional Lévy processes ⋮ FRACTIONAL LÉVY PROCESSES AND NOISES ON GEL′FAND TRIPLE ⋮ Anisotropic fractional Brownian random fields as white noise functionals ⋮ Anisotropic functional deconvolution with long-memory noise: the case of a multi-parameter fractional Wiener sheet ⋮ GENERALIZED FRACTIONAL LÉVY PROCESSES: A WHITE NOISE APPROACH

Cites Work

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• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• CONVOLUTED GENERALIZED WHITE NOISE, SCHWINGER FUNCTIONS AND THEIR ANALYTIC CONTINUATION TO WIGHTMAN FUNCTIONS
• A General Fractional White Noise Theory And Applications To Finance
• Euclidean random fields obtained by convolution from generalized white noise
• On the prediction of fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications

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