scientific article; zbMATH DE number 2096685
From MaRDI portal
Publication:4811448
zbMath1063.60080MaRDI QIDQ4811448
Publication date: 6 September 2004
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
fractional Brownian motionMalliavin calculusstochastic integralItô's formulaself-similar processstochastic differential equations driven by fractional Brownian motion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)
Related Items
Maximum Likelihood Drift Estimation for the Mixing of Two Fractional Brownian Motions ⋮ Stability for a class of semilinear fractional stochastic integral equations ⋮ Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions ⋮ A renormalized rough path over fractional Brownian motion ⋮ Unnamed Item ⋮ Quantifying Model Uncertainties in Complex Systems ⋮ Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\) ⋮ Fractional Lévy processes with an application to long memory moving average processes ⋮ Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion ⋮ Parameter identification for mixed fractional Brownian motions with the drift parameter ⋮ Weak approximation of a fractional SDE ⋮ Remarks on parameter estimation for the drift of fractional Brownian sheet ⋮ On fractional Brownian motion and wavelets ⋮ The high-order SPDEs driven by multi-parameter fractional noises ⋮ Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\) ⋮ The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\) ⋮ The stochastic wave equation with fractional noise: a random field approach ⋮ Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse ⋮ Controllability of semilinear neutral stochastic integrodifferential evolution systems with fractional Brownian motion ⋮ Stability results for stochastic differential equations driven by an additive fractional Brownian sheet ⋮ Forward integration of bounded variation coefficients with respect to Hölder continuous processes ⋮ Drift parameter estimation in fractional diffusions driven by perturbed random walks ⋮ Central and non-central limit theorems for weighted power variations of fractional Brownian motion ⋮ Stochastic differential equations driven by an additive fractional Brownian sheet ⋮ 2-microlocal analysis of martingales and stochastic integrals ⋮ On the local times of fractional Ornstein-Uhlenbeck process ⋮ Stochastic heat equation with Burgers term driven by fractional noises with two reflecting walls ⋮ From constructive field theory to fractional stochastic calculus. I: An introduction: Rough path theory and perturbative heuristics ⋮ Stochastic heat equation with multiplicative fractional-colored noise ⋮ Solving SPDEs driven by colored noise: A chaos approach ⋮ Impact of correlated noises on additive dynamical systems ⋮ Estimation of the drift of fractional Brownian motion ⋮ Stochastic generalized Burgers equations driven by fractional noises ⋮ Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\) ⋮ Stochastic partial differential equations driven by space-time fractional noises ⋮ An averaging principle for stochastic differential delay equations with fractional Brownian motion ⋮ On the linear fractional self-attracting diffusion ⋮ Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion ⋮ Power variation of multiple fractional integrals ⋮ Indirect inference in fractional short-term interest rate diffusions ⋮ Stochastic derivatives for fractional diffusions ⋮ Random attractor for the 3D viscous primitive equations driven by fractional noises ⋮ From constructive field theory to fractional stochastic calculus. II: Constructive proof of convergence for the Lévy area of fractional Brownian motion with Hurst index \(\alpha \in \left(\frac{1}{8},\frac{1}{4}\right)\) ⋮ Correcting Newton-Côtes integrals by Lévy areas ⋮ Intersection local time for two independent fractional Brownian motions ⋮ Almost sure exponential behavior of a directed polymer in a fractional Brownian environment ⋮ Renormalization Of The Local Time For The d-Dimensional Fractional Brownian Motion With N Parameters ⋮ An extension of the divergence operator for Gaussian processes ⋮ Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\) ⋮ Fractional martingales and characterization of the fractional Brownian motion ⋮ Sub-fractional Brownian motion and its relation to occupation times ⋮ Stochastic fractional Anderson models with fractional noises ⋮ The fractional multivariate normal tempered stable process ⋮ Malliavin calculus for fractional delay equations ⋮ Hölder-continuous rough paths by Fourier normal ordering ⋮ On fractional tempered stable motion ⋮ Weak solutions to stochastic differential equations driven by fractional brownian motion ⋮ Asymptotic expansions at any time for scalar fractional SDEs with Hurst index \(H>1/2\) ⋮ Stochastic calculus for convoluted Lévy processes ⋮ A strong uniform approximation of fractional Brownian motion by means of transport processes ⋮ Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion ⋮ Anderson polymer in a fractional Brownian environment: asymptotic behavior of the partition function ⋮ Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion ⋮ A decomposition of the bifractional Brownian motion and some applications ⋮ Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion ⋮ Semilinear fractional stochastic differential equations driven by a γ-Hölder continuous signal with γ > 2/3 ⋮ Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion ⋮ Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2 ⋮ Stochastic modeling of unresolved scales in complex systems ⋮ Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2
