Integral representation with respect to fractional Brownian motion under a log-Hölder assumption
From MaRDI portal
Publication:340777
DOI10.15559/15-VMSTA35CNFzbMath1352.60076arXiv1509.03894MaRDI QIDQ340777
Taras Shalaiko, Georgiy M. Shevchenko
Publication date: 15 November 2016
Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.03894
fractional Brownian motionintegral representationfractional integrallog-Hölder continuitysmall deviation
Cites Work
- Unnamed Item
- Unnamed Item
- Small ball properties and representation results
- Integration with respect to fractal functions and stochastic calculus. I
- Random variables as pathwise integrals with respect to fractional Brownian motion
- Stochastic calculus for fractional Brownian motion and related processes.
- Adapted integral representations of random variables
- Integral Representation with Adapted Continuous Integrand with Respect to Fractional Brownian Motion
- On hedging European options in geometric fractional Brownian motion market model
- Integral representation of random variables with respect to Gaussian processes