Stochastic integration with respect to fractional Brownian motion defined by non-uniform Riemann

MaRDI QIDQ3538765zbMATH OpenFDO

Authors Jinshu Chen

Publication date 24 November 2008

zbMATH Keywords

fractional Brownian motionHenstock's approachnon-uniform meshesstochastic integral

Mathematics Subject Classification ID

Stochastic integrals (60H05) Brownian motion (60J65)

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Cited in

(11)

• Stochastic integration with respect to fractional Brownian motion
• Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion
• Integration with respect to the non-commutative fractional Brownian motion
• Riemann integration on complex brownian paths
• scientific article; zbMATH DE number 1944312 (Why is no real title available?)
• Stochastic analysis of fractional Riesz-Bessel motion
• Stochastic integration with respect to the fractional Brownian motion
• Intégrale stochastique pour le mouvement brownien fractionnaire
• A new approach to stochastic integration with respect to fractional Brownian motion for no adapted processes
• On the fractional stochastic integration for random non-smooth integrands
• On Simpson's rule and fractional Brownian motion with \(H = 1/10\)

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