Gaussian Volterra processes with power-type kernels. II

DOI10.15559/22-VMSTA211MaRDI QIDQ2103307zbMATH OpenFDO

Authors S. V. Shklyar, Yuliya S. Mishura

Publication date 13 December 2022

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionGaussian Volterra processessample path differentiabilityinversion of the Volterra representation

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Recommendations

• Gaussian Volterra processes with power-type kernels. I
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Cites work

• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Gaussian Volterra processes with power-type kernels. I
• Necessary and sufficient conditions for Hölder continuity of Gaussian processes
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic analysis of Gaussian processes via Fredholm representation
• Stochastic and multiple Wiener integrals for Gaussian processes
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic calculus with respect to fractional Brownian motion
• Stochastic integration with respect to Volterra processes
• Theory and statistical applications of stochastic processes
• Transformation formulas for fractional Brownian motion

Cited in

(10)

• Gaussian Volterra processes: Asymptotic growth and statistical estimation
• Gaussian Volterra processes with power-type kernels. I
• On the Gaussian Volterra processes with power-type kernels
• A note on ergodic transformations of self-similar Volterra Gaussian processes
• Gaussian and non-Gaussian processes of zero power variation
• Combinatorial approach to the calculation of projection coefficients for the simplest Gaussian-Volterra process
• Volterra bridges and applications
• Approximating some Volterra type stochastic integrals with applications to parameter estimation.
• Equivalence of Volterra processes.
• Information loss on Gaussian Volterra process

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