Some aspects of stochastic calculus for the sub-fractional Brownian motion

zbMATH Open1174.60024MaRDI QIDQ3629282FDOQ3629282

Authors: Constantin Tudor 

Publication date: 27 May 2009

Recommendations

• Stochastic integration with respect to the sub-fractional Brownian motion with
• Some properties of the sub-fractional Brownian motion
• scientific article; zbMATH DE number 860010
• Stochastic calculus with respect to fractional Brownian motion
• Itô's formula with respect to fractional Brownian motion and its application

zbMATH Keywords

sub-fractional Brownian motioncontinuous Gaussian processsub-fractional integrals

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Cited In (24)

• A law of iterated logarithm for the subfractional Brownian motion and an application
• Nonparametric estimation of linear multiplier for processes driven by subfractional Brownian motion
• Least squares estimator for \(\alpha\)-sub-fractional bridges
• Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
• On the self-intersection local time of subfractional Brownian motion
• Fractional processes and their statistical inference: an overview
• Stochastic integration with respect to the sub-fractional Brownian motion with
• Large deviations for subordinated fractional Brownian motion and applications
• The \(\mathcal S\)-transform of sub-fBm and an application to a class of linear subfractional BSDEs
• Parameter estimations for the sub-fractional Brownian motion with drift at discrete observation
• Burkholder's submartingales from a stochastic calculus perspective
• Stochastic delay evolution equations driven by sub-fractional Brownian motion
• Instrumental variable estimation for stochastic differential equations linear in drift parameter and driven by a sub-fractional Brownian motion
• The generalized Bouleau-Yor identity for a sub-fractional Brownian motion
• Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
• Nonparametric estimation of trend for stochastic differential equations driven by sub-fractional Brownian motion
• On the convergence to the multiple subfractional Wiener-Itō integral
• Maximum likelihood estimation for sub-fractional Vasicek model
• Parametric estimation for linear stochastic differential equations driven by sub-fractional Brownian motion
• Title not available (Why is that?)
• Parametric estimation in the Vasicek-type model driven by sub-fractional Brownian motion
• Some properties of the sub-fractional Brownian motion
• Stochastic integral for non-adapted processes related to sub-fractional Brownian motion when \(H>\frac{1}{2}\)
• The structure of autocovariance matrix of discrete time subfractional Brownian motion

This page was built for publication: Some aspects of stochastic calculus for the sub-fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3629282)