\(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
From MaRDI portal
Publication:2574559
DOI10.1016/S0304-4149(02)00238-7zbMath1075.60531MaRDI QIDQ2574559
Francesco Russo, Mohammed Errami
Publication date: 29 November 2005
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Related Items (37)
A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance ⋮ Pathwise solvability of stochastic integral equations with generalized drift and non-smooth dispersion functions ⋮ Are Fractional Brownian Motions Predictable? ⋮ GENERALIZED COVARIATION AND EXTENDED FUKUSHIMA DECOMPOSITION FOR BANACH SPACE-VALUED PROCESSES: APPLICATIONS TO WINDOWS OF DIRICHLET PROCESSES ⋮ Weak Dirichlet processes with a stochastic control perspective ⋮ The quadratic variation for mixed-fractional Brownian motion ⋮ Infinite dimensional weak Dirichlet processes and convolution type processes ⋮ The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2 ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\) ⋮ Nonsemimartingales: stochastic differential equations and weak Dirichlet processes ⋮ Weak Dirichlet processes with jumps ⋮ Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes ⋮ Weak Dirichlet processes and generalized martingale problems ⋮ Non‐geometric rough paths on manifolds ⋮ Clark-Ocone type formula for non-semimartingales with finite quadratic variation ⋮ HJB Equations in Infinite Dimension and Optimal Control of Stochastic Evolution Equations Via Generalized Fukushima Decomposition ⋮ Rough semimartingales and \(p\)-variation estimates for martingale transforms ⋮ On the analysis of Ait-Sahalia-type model for rough volatility modelling ⋮ The covariation for Banach space valued processes and applications ⋮ On the $p$th variation of a class of fractal functions ⋮ The identification problem for BSDEs driven by possibly non-quasi-left-continuous random measures ⋮ Generalized covariation for Banach space valued processes, Itō formula and applications ⋮ Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\). ⋮ Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity ⋮ On (signed) Takagi-Landsberg functions: \(p\)th variation, maximum, and modulus of continuity ⋮ Some parabolic PDEs whose drift is an irregular random noise in space ⋮ Correcting Newton-Côtes integrals by Lévy areas ⋮ Geometric versus non-geometric rough paths ⋮ On bifractional Brownian motion ⋮ Gaussian and non-Gaussian processes of zero power variation ⋮ Analysis of the gradient of the solution to a stochastic heat equation via fractional Brownian motion ⋮ A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4 ⋮ Some linear fractional stochastic equations ⋮ The Calculus of Differentials for the Weak Stratonovich Integral ⋮ Quadratic covariations for the solution to a stochastic heat equation with space-time white noise ⋮ The evolution of a random vortex filament
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Verification theorems for stochastic optimal control problems via a time dependent Fukushima--Dirichlet decomposition
- Stochastic flows and Taylor series
- Integration with respect to fractal functions and stochastic calculus. I
- Differential equations driven by rough signals
- Fractional Brownian motion and the Markov property
- Stochastic analysis of the fractional Brownian motion
- Differentiability of six operators on nonsmooth functions and \(p\)-variation. With the collaboration of Jinghua Qian
- On fractional Brownian processes
- Forward, backward and symmetric stochastic integration
- Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
- Extending the Wong-Zakai theorem to reversible Markov processes
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- Weak convergence to the multiple Stratonovich integral.
- The generalized covariation process and Itô formula
- Ito formula for \(C^ 1\)-functions of semimartingales
- Integration with respect to Fractal Functions and Stochastic Calculus II
- Continuity of Stochastic Convolutions
- Stratonovich integral and trace
- Les processus de dirichlet et tant qu'espace de banach
- An interpretation of stochastic differential equations as ordinary differential equations which depend on the sample point
- Covariation de convolution de martingales
- Ordinary differential equations with fractal noise
- Transformations of semi-martingales and local dirichlet processes
- Stochastic calculus with respect to continuous finite quadratic variation processes
- Stochastic calculus with respect to Gaussian processes
This page was built for publication: \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
