Pages that link to "Item:Q3043488"
From MaRDI portal
The following pages link to FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (Q3043488):
Displayed 50 items.
- Stochastic averaging for slow-fast dynamical systems with fractional Brownian motion (Q258312) (← links)
- Solutions to BSDEs driven by both standard and fractional Brownian motions (Q350757) (← links)
- Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps (Q389251) (← links)
- On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion (Q404600) (← links)
- Optimal space-time adaptive wavelet methods for degenerate parabolic PDEs (Q431301) (← links)
- Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus (Q453268) (← links)
- Central limit theorems for power variation of Gaussian integral processes with jumps (Q477150) (← links)
- Stochastic averaging principle for dynamical systems with fractional Brownian motion (Q478249) (← links)
- Strategic asset allocation under a fractional hidden Markov model (Q479173) (← links)
- Optimal tracking for bilinear stochastic system driven by fractional Brownian motions (Q488886) (← links)
- Characterization theorems for generalized functionals of discrete-time normal martingale (Q492581) (← links)
- Probability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functions (Q600609) (← links)
- From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series (Q602483) (← links)
- Fractional multiple birth-death processes with birth probabilities \(\lambda _i(\Delta t)^\alpha +o((\Delta t)^\alpha)\) (Q621931) (← links)
- Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime (Q664561) (← links)
- Backward SDEs driven by Gaussian processes (Q740188) (← links)
- Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence (Q817295) (← links)
- Viability for differential equations driven by fractional Brownian motion (Q833296) (← links)
- A set-indexed fractional Brownian motion (Q867075) (← links)
- Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function (Q874339) (← links)
- Convergence theorems for generalized functional sequences of discrete-time normal martingales (Q898211) (← links)
- On the linear fractional self-attracting diffusion (Q927251) (← links)
- \(p\)-variation of an integral functional driven by fractional Brownian motion (Q930091) (← links)
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations (Q939363) (← links)
- Fractional Liu process with application to finance (Q970062) (← links)
- Parameter estimation for fractional Ornstein-Uhlenbeck processes (Q973190) (← links)
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio (Q980221) (← links)
- An approach via fractional analysis to non-linearity induced by coarse-graining in space (Q1049470) (← links)
- Probabilistic models for vortex filaments based on fractional Brownian motion. (Q1433882) (← links)
- On arbitrage and Markovian short rates in fractional bond markets (Q1767760) (← links)
- Ergodicity of stochastic differential equations driven by fractional Brownian motion (Q1775448) (← links)
- Stochastic partial differential equations driven by Lévy space-time white noise. (Q1879918) (← links)
- On inference for fractional differential equations (Q1943988) (← links)
- Fractional backward stochastic differential equations and fractional backward variational inequalities (Q2346984) (← links)
- Almost sure and moment stability properties of fractional order Black-Scholes model (Q2347308) (← links)
- A generalised Itō formula for Lévy-driven Volterra processes (Q2347455) (← links)
- Analysis of the equilibrium positions of nonlinear dynamical systems in the presence of coarse-graining disturbance in space (Q2380856) (← links)
- On the local times of fractional Ornstein-Uhlenbeck process (Q2433113) (← links)
- Fractional partial differential equations and modified Riemann-Liouville derivative new methods for solution (Q2454963) (← links)
- On controllability of nonlinear stochastic systems (Q2456623) (← links)
- Stochastic calculus with respect to fractional Brownian motion (Q2458944) (← links)
- Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions (Q2466563) (← links)
- Modeling fractional stochastic systems as non-random fractional dynamics driven by Brownian motions (Q2472965) (← links)
- Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results (Q2475907) (← links)
- New stochastic fractional models for Malthusian growth, the Poissonian birth process and optimal management of populations (Q2476706) (← links)
- On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion (Q2484692) (← links)
- Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance (Q2485795) (← links)
- The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes (Q2485819) (← links)
- Fractionalization of the complex-valued Brownian motion of order \(n\) using Riemann-Liouville derivative. Applications to mathematical finance and stochastic mechanics (Q2497643) (← links)
- Explicit solutions of a class of linear fractional BSDEs (Q2504564) (← links)
