Stochastic calculus for fractional Brownian motion and related processes.
Black-Scholes modelfiltering problemFractional Brownian motionGaussian processGirsanov's theoremhypotheses testingItô's formulastochastic integrationwhite noise
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Central limit and other weak theorems (60F05) Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Random fields (60G60) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) White noise theory (60H40) Parametric hypothesis testing (62F03) Stochastic models in economics (91B70)
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Stochastic calculus with respect to fractional Brownian motion
- Stochastic calculus with respect to the fractional Brownian motion
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Fractional Brownian motion: stochastic calculus and applications
- Stochastic differential equations for fractional Brownian motions
- scientific article; zbMATH DE number 860010
- Stochastic calculus for fractional Lévy processes
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
- Pricing geometric Asian power options under mixed fractional Brownian motion environment
- Arbitrage with fractional Gaussian processes
- On the non-Lipschitz stochastic differential equations driven by fractional Brownian motion
- Nonlocal fractional stochastic differential equations driven by fractional Brownian motion
- New and refined bounds for expected maxima of fractional Brownian motion
- Bismut formula for a stochastic heat equation with fractional noise
- Fractional Cox-Ingersoll-Ross process with non-zero ``mean
- A note on exponential stability of non-autonomous linear stochastic differential delay equations driven by a fractional Brownian motion with Hurst index \(> \frac{1}{2}\)
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Statistical inference for SPDEs: an overview
- Existence and exponential stability for impulsive neutral stochastic functional differential equations driven by fBm with noncompact semigroup via Mönch fixed point
- Controllability of nonlinear impulsive stochastic evolution systems driven by fractional Brownian motion
- Solutions to BSDEs driven by multidimensional fractional Brownian motions
- Pricing currency options in the mixed fractional Brownian motion
- The self-normalized Donsker theorem revisited
- Prediction law of fractional Brownian motion
- Fractional smoothness of derivative of self-intersection local times
- Averaging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processes
- Forecasting of time data with using fractional Brownian motion
- Stochastic Navier-Stokes equations with Caputo derivative driven by fractional noises
- Attracting and quasi-invariant sets of neutral stochastic integro-differential equations with impulses driven by fractional Brownian motion
- Controllability of a stochastic functional differential equation driven by a fractional Brownian motion
- Exponential stability behavior of neutral stochastic integrodifferential equations with fractional Brownian motion and impulsive effects
- Impact of correlated noises on additive dynamical systems
- Pricing currency option in a mixed fractional Brownian motion with jumps environment
- The structure of autocovariance matrix of discrete time subfractional Brownian motion
- The pricing of vulnerable options in a fractional Brownian motion environment
- Lyapunov techniques for stochastic differential equations driven by fractional Brownian motion
- Parameter estimation for long-memory stochastic volatility at discrete observation
- An averaging principle for stochastic differential delay equations with fractional Brownian motion
- Least squares estimation for \(\alpha\)-fractional bridge with discrete observations
- Random attractor for the 3D viscous primitive equations driven by fractional noises
- On (signed) Takagi-Landsberg functions: pth variation, maximum, and modulus of continuity
- Moment stability via resolvent operators of fractional stochastic differential inclusions driven by fractional Brownian motion
- Existence and uniquenes results for systems of impulsive functional stochastic differential equations driven by fractional Brownian motion with multiple delay
- Optimal portfolio management in a modified constant elasticity of variance model
- Modelling non-Markovian fluctuations in intracellular biomolecular transport
- Stability analysis of a fractional order modified Leslie-Gower model with additive Allee effect
- Optimal error estimates for fractional stochastic partial differential equation with fractional Brownian motion
- Pricing european option under the time-changed mixed Brownian-fractional Brownian model
- Nonlocal stochastic integro-differential equations driven by fractional Brownian motion
- Anderson polymer in a fractional Brownian environment: asymptotic behavior of the partition function
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- On pricing and hedging in financial markets with long-range dependence
- Insider trading equilibrium in a market with memory
- Uniqueness and explosion time of solutions of stochastic differential equations driven by fractional Brownian motion
- Laplace approximation for rough differential equation driven by fractional Brownian motion
- Hypothesis testing in generalized linear models with functional coefficient autoregressive pro\-cesses
- Regularity of multifractional moving average processes with random Hurst exponent
- Approximate controllability of fractional stochastic differential equations driven by fractional Brownian motion
- On the maximum of the discretely sampled fractional Brownian motion with small Hurst parameter
- On a covariance structure of some subset of self-similar Gaussian processes
- An integral functional driven by fractional Brownian motion
- Stochastic averaging for a class of two-time-scale systems of stochastic partial differential equations
- The local time of the fractional Ornstein-Uhlenbeck process
- Stochastic Volterra equation driven by Wiener process and fractional Brownian motion
- High-frequency trading with fractional Brownian motion
- Oscillating Gaussian processes
- Stability of linear stochastic differential equations of mixed type with fractional Brownian motions
- Moment estimates and applications for SDEs driven by fractional Brownian motions with irregular drifts
- Pricing of American carbon emission derivatives and numerical method under the mixed fractional Brownian motion
- Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion
- A Petrov-Galerkin finite element method using polyfractonomials to solve stochastic fractional differential equations
- Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure
- Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects
- Results on nonlocal stochastic integro-differential equations driven by a fractional Brownian motion
- Pricing vulnerable options in a mixed fractional Brownian motion with jumps
- \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \)
- Maximum likelihood estimation for sub-fractional Vasicek model
- Solving random fractional second-order linear equations via the mean square Laplace transform: theory and statistical computing
- Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: averaging principle
- Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
- Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion
- An integration by parts formula for stochastic heat equations with fractional noise
- On the existence of traveling fronts in the fractional-order amari neural field model
- Difference methods for time discretization of spectral fractional stochastic wave equation
- Gaussian Volterra processes with power-type kernels. II
- Rough homogenisation with fractional dynamics
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
- Optimal strong convergence of finite element methods for one-dimensional stochastic elliptic equations with fractional noise
- Functional limit theorems for the fractional Ornstein-Uhlenbeck process
- How does tempering affect the local and global properties of fractional Brownian motion?
- Analog of the Kolmogorov equations for one-dimensional stochastic differential equations controlled by fractional Brownian motion with Hurst exponent \(H\in (0,1)\)
- Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion
- Valuation of bid and ask prices for European options under mixed fractional Brownian motion
- Pathwise least-squares estimator for linear SPDEs with additive fractional noise
- Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
- Pricing geometric Asian rainbow options under the mixed fractional Brownian motion
- Impulsive stochastic fractional differential equations driven by fractional Brownian motion
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion
- Pricing formula for european currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients
- Robust H_ filtering and control for a class of linear systems with fractional stochastic noise
- Option pricing under mixed hedging strategy in time-changed mixed fractional Brownian model
- Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion
- Parameter identification for mixed fractional Brownian motions with the drift parameter
- An explicit method for the self-interacting diffusion driven by fractional Brownian motion under global Lipschitz conditions
- Gaussian Volterra processes with power-type kernels. I
- The existence and exponential behavior of solutions to time fractional stochastic delay evolution inclusions with nonlinear multiplicative noise and fractional noise
- Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem
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