Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions

DOI10.1016/J.SPA.2013.09.004zbMATH Open1298.60059OpenAlexW2000488038MaRDI QIDQ2434498FDOQ2434498

Authors Joachim Lebovits, Jacques Lévy-Véhel, Erick Herbin

Publication date 6 February 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2013.09.004

zbMATH Keywords

Gaussian processesfractional Brownian motionsconvergence in lawpathwise integralSkorohod integralwhite noise theorymultifractional Brownian motionsWick-Itō integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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Cited in

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• Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals
• Girsanov theorem for multifractional Brownian processes
• Solutions of a disease model with fractional white noise
• Differential equations driven by variable order Hölder noise and the regularizing effect of delay
• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
• General transfer formula for stochastic integral with respect to multifractional Brownian motion
• Stochastic calculus with respect to Gaussian processes
• Multifractional Hermite processes: definition and first properties
• Regularity of multifractional moving average processes with random Hurst exponent
• White noise-based stochastic calculus with respect to multifractional Brownian motion
• From stochastic integral w.r.t. fractional Brownian motion to stochastic integral w.r.t. multifractional Brownian motion
• Multiple stochastic fractional integrals: A transfer principle for multiple stochastic fractional integrals
• The density of solutions to multifractional stochastic Volterra integro-differential equations
• Stochastic evolution equations with Volterra noise

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