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
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Cited In (12)
- Differential equations driven by variable order Hölder noise and the regularizing effect of delay
- Multiple stochastic fractional integrals: A transfer principle for multiple stochastic fractional integrals
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
- Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals
- Girsanov theorem for multifractional Brownian processes
- Regularity of multifractional moving average processes with random Hurst exponent
- General transfer formula for stochastic integral with respect to multifractional Brownian motion
- Multifractional Hermite processes: definition and first properties
- The density of solutions to multifractional stochastic Volterra integro-differential equations
- Solutions of a disease model with fractional white noise
- Stochastic evolution equations with Volterra noise
- Stochastic calculus with respect to Gaussian processes
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