Derivation formulas of noncausal finite variation processes from the stochastic Fourier coefficients

DOI10.1007/S13160-020-00404-4MaRDI QIDQ2174802zbMATH OpenOpenAlexFDO

Authors Kiyoiki Hoshino

Publication date 27 April 2020

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

Full work available at URL https://doi.org/10.1007/s13160-020-00404-4

zbMATH Keywords

Brownian motionSkorokhod integralnoncausalOgawa integralstochastic Fourier coefficientanticipative

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Stochastic integrals (60H05)

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Cites work

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• A direct inversion formula for SFT
• Derivation formulas of noncausal finite variation processes from the stochastic Fourier coefficients
• Fourier series method for measurement of multivariate volatilities
• Identification of a noncausal Itô process from the stochastic Fourier coefficients
• Noncausal stochastic calculus
• On a Generalization of a Stochastic Integral
• On a stochastic Fourier coefficient: case of noncausal functions
• On a stochastic Fourier transformation
• On the Ogawa integrability of noncausal Wiener functionals
• On the convergence of sums of independent Banach space valued random variables
• On the identification of noncausal Wiener functionals from the stochastic Fourier coefficients
• Quelques propriétés de l’intégrale stochastique du type noncausal
• Some aspects of strong inversion formulas of an SFT

Cited in

(7)

• On a stochastic Fourier transformation
• On the identification of noncausal Wiener functionals from the stochastic Fourier coefficients
• Reconstruction of a noncausal function from its SFCs by Bohr convolution
• Derivation formulas of noncausal finite variation processes from the stochastic Fourier coefficients
• Identification of a noncausal Itô process from the stochastic Fourier coefficients
• A direct inversion formula for SFT
• On the stochastic differentiability of noncausal processes with respect to the process with quadratic variation

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