White noise-based stochastic calculus with respect to multifractional Brownian motion
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Cites work
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- scientific article; zbMATH DE number 3187153 (Why is no real title available?)
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- Elliptic Gaussian random processes
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- Fractional Brownian Motions, Fractional Noises and Applications
- From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order
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- Integration with respect to fractal functions and stochastic calculus. I
- Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
- Long memory in continuous-time stochastic volatility models
- Modelling stock price movements: multifractality or multifractionality?
- Stochastic 2-microlocal analysis
- Stochastic analysis of the fractional Brownian motion
- Stochastic calculus with respect to Gaussian processes
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Cited in
(21)- Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion
- Differential equations driven by variable order Hölder noise and the regularizing effect of delay
- A new approach to stochastic integration with respect to fractional Brownian motion for no adapted processes
- On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
- Itô's formula for Gaussian processes with stochastic discontinuities
- Self-exciting multifractional processes
- Mittag-Leffler analysis. II: Application to the fractional heat equation.
- From stochastic integral w.r.t. fractional Brownian motion to stochastic integral w.r.t. multifractional Brownian motion
- Whitening filter and innovational representation of fractional Brownian motion
- An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
- Girsanov theorem for multifractional Brownian processes
- Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions
- An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
- White noise based stochastic calculus associated with a class of Gaussian processes
- 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
- Local times for multifractional Brownian motion in higher dimensions: A white noise approach
- Partial functional quantization and generalized bridges
- Self-intersection local times for multifractional Brownian motion in higher dimensions: a white noise approach
- Stochastic calculus with respect to Gaussian processes
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