Stochastic analysis of the fractional Brownian motion
From MaRDI portal
Publication:1288464
DOI10.1023/A:1008634027843zbMath0924.60034MaRDI QIDQ1288464
Laurent Decreusefond, Ali Süleyman Üstünel
Publication date: 20 July 1999
Published in: Potential Analysis (Search for Journal in Brave)
Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)
Related Items (only showing first 100 items - show all)
Strassen's law of the iterated logarithm for stochastic Volterra equations and applications ⋮ A Kolmogorov and Tightness Criterion in Modular Besov Spaces and an Application to a Class of Gaussian Processes ⋮ Unnamed Item ⋮ Well-posedness of the deterministic transport equation with singular velocity field perturbed along fractional Brownian paths ⋮ On the fractional stochastic integration for random non-smooth integrands ⋮ Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions ⋮ Generalized BDSDEs driven by fractional Brownian motion ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ Stability results for stochastic differential equations driven by an additive fractional Brownian sheet ⋮ Asymptotics for multifactor Volterra type stochastic volatility models ⋮ THE FRACTIONAL VOLATILITY MODEL AND ROUGH VOLATILITY ⋮ Harnack type inequalities for SDEs driven by fractional Brownian motion with Markovian switching ⋮ A support theorem for stochastic differential equations driven by a fractional Brownian motion ⋮ Precise local estimates for differential equations driven by fractional Brownian motion: elliptic case ⋮ Backward doubly stochastic differential equations driven by fractional Brownian motion with stochastic integral-Lipschitz coefficients ⋮ Deep Curve-Dependent PDEs for Affine Rough Volatility ⋮ An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process ⋮ The total variation distance between the solutions to stochastic Volterra equations and SDEs with its applications ⋮ Restoration of well-posedness of infinite-dimensional singular ODE's via noise ⋮ Qualitative analysis of fractional stochastic differential equations with variable order fractional derivative ⋮ APPROXIMATE PRICING OF DERIVATIVES UNDER FRACTIONAL STOCHASTIC VOLATILITY MODEL ⋮ On the analysis of Ait-Sahalia-type model for rough volatility modelling ⋮ Unnamed Item ⋮ Unnamed Item ⋮ APPROXIMATION OF THE STOCHASTIC RAYLEIGH–BÉNARD PROBLEM NEAR THE ONSET OF CONVECTION AND RELATED PROBLEMS ⋮ REGULARIZATION OF QUASILINEAR HEAT EQUATIONS BY A FRACTIONAL NOISE ⋮ A Fractional Donsker Theorem ⋮ MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS ⋮ An Approximation of Subfractional Brownian Motion ⋮ Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem ⋮ Stochastic differential equations—some new ideas ⋮ Stochastic calculus with respect to Gaussian processes ⋮ NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND ⋮ Singularity of Fractional Brownian Motions with Different Hurst Indices ⋮ Large deviation for stochastic volterra equation in the Besov-Orlicz space and application ⋮ STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE ⋮ Parameter identification for the discretely observed geometric fractional Brownian motion ⋮ Stochastic Evolution Equations Driven by a Fractional White Noise ⋮ Wick-Itô Formula for Gaussian Processes ⋮ Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2 ⋮ Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motions ⋮ Enhanced Gaussian processes and applications ⋮ Harnack inequality for stochastic heat equation driven by fractional noise with Hurst index H>½ ⋮ A Haar wavelet method for linear and nonlinear stochastic Itô–Volterra integral equation driven by a fractional Brownian motion ⋮ Stability of Fractional SDEs with Markov Switching Perturbed by Transition Rate Matrices ⋮ Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions ⋮ The quadratic covariation for a weighted fractional Brownian motion ⋮ Weak solutions for stochastic differential equations with additive fractional noise ⋮ Distribution and pressure of active Lévy swimmers under confinement ⋮ Harnack inequalities for functional SDEs driven by subordinate fractional Brownian motion ⋮ A New Approach to Stochastic Integration with Respect to Fractional Brownian Motion for No Adapted Processes ⋮ Fractional Bilinear Stochastic Equations with the Drift in the First Fractional Chaos ⋮ Random Dynamical Systems and Stationary Solutions of Differential Equations Driven by the Fractional Brownian Motion ⋮ Maximum Likelihood Drift Estimation for the Mixing of Two Fractional Brownian Motions ⋮ Regularization of differential equations by two fractional noises ⋮ Singularity of Subfractional Brownian Motions with Different Hurst Indices ⋮ Stochastic evolution equations driven by Liouville fractional Brownian motion ⋮ Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models ⋮ Wiener integrals, Malliavin calculus and covariance measure structure ⋮ Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion ⋮ Statistical aspects of the fractional stochastic calculus ⋮ Fractional Lévy processes with an application to long memory moving average processes ⋮ Lp-valued stochastic convolution integral driven by Volterra noise ⋮ Unnamed Item ⋮ Approximation to two independent Gaussian processes from a unique Lévy process and applications ⋮ Efficient and superefficient estimators of filtered Poisson process intensities ⋮ Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises ⋮ Amplitude equations for SPDEs driven by fractional additive noise with small hurst parameter ⋮ Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes ⋮ Large deviation principle for fractional Brownian motion with respect to capacity ⋮ Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion ⋮ The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2 ⋮ Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion ⋮ Large deviations for functionals of some self-similar Gaussian processes ⋮ T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ Asymptotic behaviours of a stochastic delay equation driven by an fBm in Hilbert space ⋮ Fuzzy stochastic differential equations driven by fractional Brownian motion ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ Resemblance of the power-law scaling behavior of a non-Markovian and nonlinear point processes ⋮ Unraveling chaotic attractors by complex networks and measurements of stock market complexity ⋮ MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS ⋮ Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs ⋮ Tightness and exponential tightness of Gaussian probabilities ⋮ Asymptotics for Rough Stochastic Volatility Models ⋮ Stochastic differential equations driven by an additive fractional Brownian sheet ⋮ BSDEs driven by two mutually independent fractional Brownian motions with stochastic Lipschitz coefficients ⋮ Fractional backward SDEs with locally monotone coefficient and application to PDEs ⋮ Exact asymptotics of small deviations for a stationary Ornstein-Uhlenbeck process and some Gaussian diffusion processes in the L p -norm, 2 ≤ p ≤ ∞ ⋮ General approach to filtering with fractional brownian noises — application to linear systems ⋮ Solving SPDEs driven by colored noise: A chaos approach ⋮ Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion ⋮ Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2 ⋮ Structural transformations of probabilistic finite state machines ⋮ Regularity properties of the stochastic flow of a skew fractional Brownian motion ⋮ Unnamed Item ⋮ Density of the signature process of fBm ⋮ Limiting measure and stationarity of solutions to stochastic evolution equations with Volterra noise ⋮ Asymptotic behavior of the weak approximation to a class of Gaussian processes ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion
This page was built for publication: Stochastic analysis of the fractional Brownian motion