Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions
From MaRDI portal
Publication:2434498
DOI10.1016/j.spa.2013.09.004zbMath1298.60059MaRDI QIDQ2434498
Erick Herbin, Joachim Lebovits, Jacques Lévy-Véhel
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
Gaussian processes; fractional Brownian motions; convergence in law; pathwise integral; Skorohod integral; white noise theory; multifractional Brownian motions; Wick-Itō integral
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