The fractional derivative for fractional Brownian local time with Hurst index large than 1/2
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Publication:284812
DOI10.1007/s00209-015-1606-5zbMath1338.60111OpenAlexW2212345685MaRDI QIDQ284812
Publication date: 18 May 2016
Published in: Mathematische Zeitschrift (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00209-015-1606-5
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Fractional derivatives and integrals (26A33) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Local time and additive functionals (60J55)
Related Items (5)
Limit theorems related to the integral functionals of one dimensional fractional Brownian motion ⋮ Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises ⋮ An integral functional driven by fractional Brownian motion ⋮ Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion ⋮ Derivative formulas and applications for degenerate stochastic differential equations with fractional noises
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