Multiple fractional integrals through Gamma-mixed Ornstein-Uhlenbeck process

MaRDI QIDQ3580751zbMATH OpenFDO

Authors Constantin Tudor, Maria Tudor

Publication date 13 August 2010

zbMATH Keywords

fractional Brownian motionmultiple Stratonovich integraltrace of a functionmultiple Wiener-Itô integralsquare mean approximation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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• scientific article; zbMATH DE number 1822341

Cited in

(5)

• Gamma variates of fractional shape as functioials of a homogeneous multidimensional poisson process
• A class of fractional Ornstein-Uhlenbeck processes mixed with a Gamma distribution
• Hermite Ornstein-Uhlenbeck processes mixed with a gamma distribution
• On integration by parts formula and characterization of fractional Ornstein-Uhlenbeck process
• Gamma-mixed Ornstein-Uhlenbeck sheet

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