An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
From MaRDI portal
Publication:2574549
DOI10.1016/S0304-4149(02)00212-0zbMath1075.60530MaRDI QIDQ2574549
Publication date: 29 November 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Related Items
Unnamed Item, Perpetual American options with fractional Brownian motion, THE RESTRICTION OF THE FRACTIONAL ITÔ INTEGRAL TO ADAPTED INTEGRANDS IS INJECTIVE, Distributional It\^o's Formula and Regularization of Generalized Wiener Functionals, MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS, A quasilinear stochastic partial differential equation driven by fractional white noise, Stochastic Evolution Equations Driven by a Fractional White Noise, Stochastic calculus with respect to Gaussian processes, Mittag-Leffler analysis. II: Application to the fractional heat equation., Numerical analysis for stochastic age-dependent population equations with fractional Brownian motion, Collision local times of two independent fractional Brownian motions, Skorohod integration and stochastic calculus beyond the fractional Brownian scale, Intersection local times of independent fractional Brownian motions as generalized white noise functionals, Backward SDEs driven by Gaussian processes, Exact linearization of one dimensional Itô equations driven by fBm: Analytical and numerical solutions, A white noise approach to stochastic integration with respect to the Rosenblatt process, Stochastic calculus for convoluted Lévy processes, Fractional Fokker-Planck-Kolmogorov equations associated with SDEs on a bounded domain, Impact of correlated noises on additive dynamical systems, Lyapunov techniques for stochastic differential equations driven by fractional Brownian motion, Maximal inequalities for the iterated fractional integrals, The \(\mathcal S\)-transform of sub-fBm and an application to a class of linear subfractional BSDEs, Almost sure and moment stability properties of fractional order Black-Scholes model, A generalised Itō formula for Lévy-driven Volterra processes, On the local times of fractional Ornstein-Uhlenbeck process, Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions, An extension of the divergence operator for Gaussian processes, On bifractional Brownian motion, Explicit solutions of a class of linear fractional BSDEs, Inequalities for the \(\mathbb L^p\) norms of integrals with respect to a fractional Brownian motion, Fractional noise destroys or induces a stochastic bifurcation, White noise-based stochastic calculus with respect to multifractional Brownian motion, Quantifying Model Uncertainties in Complex Systems, Local times for multifractional Brownian motion in higher dimensions: A white noise approach, Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion, An Itô formula for a fractional Brownian sheet with arbitrary Hurst parameters, An Itô Formula of Generalized Functionals and Local Time for Fractional Brownian Sheet, FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION
Cites Work
- Self-intersections and local nondeterminism of Gaussian processes
- Stochastic analysis of the fractional Brownian motion
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
- Integration questions related to fractional Brownian motion
- Stochastic integration with respect to fractional Brownian motion
- Tanaka formula for the fractional Brownian motion.
- Fractional Brownian Fields as Integrals of White Noise
- Skorohod stochastic integration with respect to non-adapted processes on wiener space
- Stochastic analysis of fractional brownian motions
- Arbitrage with Fractional Brownian Motion
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Fractional Brownian Motions, Fractional Noises and Applications
- Positive Temperatures on an Infinite Rod
- Stochastic calculus with respect to Gaussian processes
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
