Integration questions related to fractional Brownian motion

DOI10.1007/S004400000080zbMATH Open0970.60058MaRDI QIDQ1591371FDOQ1591371

Authors: Vladas Pipiras, Murad S. Taqqu 

Publication date: 16 October 2001

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

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zbMATH Keywords

fractional Brownian motionWiener integrals\(L^2\)-integrationtime and spectral domains

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cited In (only showing first 100 items - show all)

• On the Wiener integral with respect to the fractional Brownian motion on an interval
• Integrability conditions for space-time stochastic integrals: theory and applications
• Intersection local times of independent fractional Brownian motions as generalized white noise functionals
• Koksma-Hlawka type inequalities of fractional order
• Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
• Cylindrical fractional Brownian motion in Banach spaces
• Inner product spaces of integrands associated to subfractional Brownian motion
• Ergodicity and parameter estimates for Infinite-dimensional fractional Ornstein-Uhlenbeck process
• A frequency domain approach to some results on fractional Brownian motion
• The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes
• Stochastic calculus with respect to fractional Brownian motion
• The Wiener integral with respect to second order processes with stationary increments
• Fractional Lévy processes with an application to long memory moving average processes
• Stochastic heat equation driven by fractional noise and local time
• Stochastic integrals and evolution equations with Gaussian random fields
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• The fractional derivative for fractional Brownian local time with Hurst index large than 1/2
• Tempered fractional calculus
• On the characteristics of a class of Gaussian processes within the white noise space setting
• Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter
• Mild solutions for a class of fractional SPDEs and their sample paths
• Integrated functionals of normal and fractional processes
• How rich is the class of multifractional Brownian motions?
• The stochastic wave equation with fractional noise: a random field approach
• Exponential stability for stochastic neutral functional differential equations driven by Rosenblatt process with delay and Poisson jumps
• Equivalence of laws and null controllability for SPDEs driven by a fractional Brownian motion
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions
• Fractional iterated Ornstein-Uhlenbeck processes
• On the reproducing kernel Hilbert spaces associated with the fractional and bi-fractional Brownian motions
• Stochastic integration for tempered fractional Brownian motion
• The transport equation and zero quadratic variation processes
• A version of Hörmander's theorem for the fractional Brownian motion
• SPDEs with fractional noise in space: continuity in law with respect to the Hurst index
• Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\)
• Sharp asymptotics of the Kolmogorov entropy for Gaussian measures
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• Gaussian stationary processes: Adaptive wavelet decompositions, discrete approximations, and their convergence
• Linear SPDEs driven by stationary random distributions
• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
• Generalized fractional Lévy processes with fractional Brownian motion limit
• Bifurcation dynamics of the tempered fractional Langevin equation
• Analysis of the rosenblatt process
• On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
• Trees and asymptotic expansions for fractional stochastic differential equations
• Brownian surfaces with boundary and Deligne cohomology
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• On the Wiener integral with respect to the fractional Brownian motion
• A white noise approach to stochastic integration with respect to the Rosenblatt process
• Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension
• On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion
• Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model
• Tempered Hermite process
• Wiener integrals, Malliavin calculus and covariance measure structure
• Asymptotic equivalence for regression under fractional noise
• Notes on the two-dimensional fractional Brownian motion
• Approximating some Volterra type stochastic integrals with applications to parameter estimation.
• Minimax lower bound for kink location estimators in a nonparametric regression model with long-range dependence
• The density of the solution to the stochastic transport equation with fractional noise
• Hurst index estimation in stochastic differential equations driven by fractional Brownian motion
• Large deviations and Wschebor's theorems
• Transformation formulas for fractional Brownian motion
• On the equivalence of multiparameter Gaussian processes
• Fractional stochastic wave equation driven by a Gaussian noise rough in space
• Parameter estimation for nonergodic Ornstein-Uhlenbeck process driven by the weighted fractional Brownian motion
• Solutions of linear and semilinear distributed parameter equations with a fractional Brownian motion
• Out of sample forecasts of quadratic variation
• Probabilistic models for vortex filaments based on fractional Brownian motion.
• Generalized fractional BSDE with jumps and Lipschitz coefficients
• Evolutionary equations driven by fractional Brownian motion
• Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes
• A generalization of the Wick-Itô stochastic integral
• Stochastic modeling in nanoscale biophysics: subdiffusion within proteins
• Convergence of weighted sums of random variables with long-range dependence.
• Variational solutions for partial differential equations driven by a fractional noise
• Typical dynamics and fluctuation analysis of slow-fast systems driven by fractional Brownian motion
• Backward stochastic differential equations driven by fractional noise with non-Lipschitz coefficients
• Local \(L^p\)-solution for semilinear heat equation with fractional noise
• Least squares estimation for \(\alpha\)-fractional bridge with discrete observations
• Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12)
• Transportation inequalities for stochastic heat equation with rough dependence in space
• Rough homogenisation with fractional dynamics
• Pathwise decompositions of Brownian semistationary processes
• Almost periodic solutions in distribution to affine stochastic differential equations driven by a fractional Brownian motion
• SPDEs with linear multiplicative fractional noise: continuity in law with respect to the Hurst index
• On piecewise polynomial regression under general dependence conditions, with an application to calcium-imaging data
• Fractional Stokes-Boussinesq-Langevin equation and Mittag-Leffler correlation decay
• Generating diffusions with fractional Brownian motion
• Fluctuations in 1D stochastic homogenization of pseudo-elliptic equations with long-range dependent potentials
• Asymptotic theory for near integrated processes driven by tempered linear processes
• Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion
• Decompositions of stochastic convolution driven by a white-fractional Gaussian noise
• Precise local estimates for differential equations driven by fractional Brownian motion: hypoelliptic case
• When does fractional Brownian motion not behave as a continuous function with bounded variation?
• The convergence of exponential Euler method for weighted fractional stochastic equations
• Asymptotic expansion of the quadratic variation of fractional stochastic differential equation
• Lévy area analysis and parameter estimation for fOU processes via non-geometric rough path theory
• Neutral stochastic functional differential evolution equations driven by Rosenblatt process with varying-time delays
• Brownian cylinders and intersecting branes
• On the fractional stochastic integration for random non-smooth integrands
• Stability of linear stochastic differential equations of mixed type with fractional Brownian motions

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