Stochastic integration with respect to the sub-fractional Brownian motion with

DOI10.1016/J.SPL.2011.10.002zbMATH Open1239.60041OpenAlexW2075002336MaRDI QIDQ419214FDOQ419214

Authors: Chao Chen, Guangjun Shen 

Publication date: 18 May 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.10.002

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zbMATH Keywords

Malliavin calculusstochastic integrationTanaka formulasub-fractional Brownian motionItô formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05)

Cites Work

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Cited In (29)

• Stochastic integration with respect to fractional Brownian motion
• Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
• Impulsive stochastic differential equations involving Hilfer fractional derivatives
• Least squares estimator for \(\alpha\)-sub-fractional bridges
• Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals
• Title not available (Why is that?)
• Remarks on an integral functional driven by sub-fractional Brownian motion
• Estimators for the Drift of Subfractional Brownian Motion
• Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions
• The law of a stochastic integral with respect to subfractional Brownian motions
• Itô's formula for a sub-fractional Brownian motion
• The \(\mathcal S\)-transform of sub-fBm and an application to a class of linear subfractional BSDEs
• An approximate approach to fuzzy stochastic differential equations under sub-fractional Brownian motion
• Some aspects of stochastic calculus for the sub-fractional Brownian motion
• Stochastic delay evolution equations driven by sub-fractional Brownian motion
• Intégrale stochastique pour le mouvement brownien fractionnaire
• The stochastic integral with respect to the sub-fractional Brownian motion with \(H > \frac12\)
• Occupation densities for certain processes related to subfractional Brownian motion
• On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
• On the convergence to the multiple subfractional Wiener-Itō integral
• A universal envelope for Gaussian processes and their kernels
• An approximation of subfractional Brownian motion
• Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
• Spectral theory for Gaussian processes: reproducing kernels, boundaries, and \(\mathrm{L}^{2}\)-wavelet generators with fractional scales
• Stochastic integration with respect to the fractional Brownian motion
• Remarks on sub-fractional Brownian motion
• Impulsive fractional stochastic differential inclusions driven by sub-fractional Brownian motion with infinite delay and sectorial operators
• 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

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