Some aspects of strong inversion formulas of an SFT

DOI10.1007/S13160-017-0295-3MaRDI QIDQ1742895zbMATH OpenOpenAlexFDO

Authors Shigeyoshi Ogawa, Hideaki Uemura

Publication date 12 April 2018

Published in Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13160-017-0295-3

zbMATH Keywords

inversion in strong senseItô integralOgawa integralstochastic Fourier coefficientstochastic Fourier transformation

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• A direct inversion formula for SFT
• scientific article; zbMATH DE number 19585 (Why is no real title available?)
• scientific article; zbMATH DE number 3617292 (Why is no real title available?)
• Identification of a noncausal Itô process from the stochastic Fourier coefficients
• Noncausal stochastic calculus
• On a stochastic Fourier coefficient: case of noncausal functions
• On a stochastic Fourier transformation
• On the convergence of sums of independent Banach space valued random variables
• Quelques propriétés de l’intégrale stochastique du type noncausal
• Real-time scheme for the volatility estimation in the presence of microstructure noise
• Stochastic calculus of variations in mathematical finance.

Cited in

(4)

• Derivation formulas of noncausal finite variation processes from the stochastic Fourier coefficients
• A direct inversion formula for SFT
• Reconstruction of a noncausal function from its SFCs by Bohr convolution
• On a stochastic Fourier transformation

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