Integral transformations and anticipative calculus for fractional Brownian motions
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Publication:3022807
DOI10.1090/memo/0825zbMath1072.60044OpenAlexW2065382788MaRDI QIDQ3022807
Publication date: 30 June 2005
Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/memo/0825
approximationconditioningRiccati equationRadon-Nikodym derivativeItô formulastochastic integralintegration by parts formulalinear quadratic control\(L_p\) estimatecontinuous modificationMeyer's inequalityClark derivativeintegro-differential transformationnonliner translationprobability structure preserving
Gaussian processes (60G15) Fractional derivatives and integrals (26A33) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Continuity and singularity of induced measures (60G30) General integral transforms (44A05)
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