Integral transformations and anticipative calculus for fractional Brownian motions (Q3022807)
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scientific article; zbMATH DE number 2184675
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| English | Integral transformations and anticipative calculus for fractional Brownian motions |
scientific article; zbMATH DE number 2184675 |
Statements
Integral transformations and anticipative calculus for fractional Brownian motions (English)
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30 June 2005
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integro-differential transformation
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probability structure preserving
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approximation
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stochastic integral
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Meyer's inequality
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\(L_p\) estimate
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Itô formula
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integration by parts formula
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Clark derivative
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nonliner translation
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Radon-Nikodym derivative
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conditioning
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continuous modification
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linear quadratic control
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Riccati equation
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0.8388900756835938
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0.8163571953773499
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0.8151241540908813
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0.8151241540908813
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