The quadratic variation for mixed-fractional Brownian motion
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- Elements of Stochastic Calculus via Regularization
- Integration with respect to local time
- Ito formula for C^ 1-functions of semimartingales
- Local time and stochastic area integrals
- Local time-space stochastic calculus for Lévy processes
- Mixed fractional Brownian motion
- Occupation densities
- Pricing currency option in a mixed fractional Brownian motion with jumps environment
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- Quadratic covariation and an extension of Itô's formula
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- Stochastic Calculus for Fractional Brownian Motion and Applications
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- Stochastic calculus with respect to Gaussian processes
- Tanaka formula for the fractional Brownian motion.
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- The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion
- Two-parameter \(p,q\)-variation paths and integrations of local times
- Weighted Local Time for Fractional Brownian Motion and Applications to Finance
- \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
Cited in
(9)- Berry-Esseen bounds and almost sure CLT for the quadratic variation of the bifractional Brownian motion
- Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
- Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion
- Brownian motion with quadratic killing and some implications
- Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
- scientific article; zbMATH DE number 936411 (Why is no real title available?)
- A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
- -variation of a bifractional Brownian motion
- Mixed fractional Brownian motion
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