White noise-based stochastic calculus with respect to multifractional Brownian motion
DOI10.1080/17442508.2012.758727zbMATH Open1326.60079OpenAlexW1977698657MaRDI QIDQ2875258FDOQ2875258
Authors: Joachim Lebovits, Jacques Lévy-Véhel 
Publication date: 14 August 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00580196/file/StochasticCalculusmBmWhiteNoise_preprint_le_26_03_2011.pdf
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Cited In (21)
- 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
- Itô's formula for Gaussian processes with stochastic discontinuities
- Self-exciting multifractional processes
- On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
- 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
- An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
- Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions
- 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
- Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion
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