Fractional Brownian motion: theory and applications

From MaRDI portal
Publication:4226120

DOI10.1051/proc:1998014zbMath0914.60019OpenAlexW2091470385MaRDI QIDQ4226120

Ali Süleyman Üstünel, Laurent Decreusefond

Publication date: 27 January 1999

Published in: ESAIM: Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc:1998014




Related Items

Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motionStrong approximation of fractional Brownian motion by moving averages of simple random walks.Large deviations and Berry-Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motionOptimization of small deviation for mixed fractional Brownian motion with trendAveraging principles for SPDEs driven by fractional Brownian motions with random delays modulated by two-time-scale Markov switching processesFractional Brownian motions ruled by nonlinear equationsAveraging principles for functional stochastic partial differential equations driven by a fractional Brownian motion modulated by two-time-scale Markovian switching processesAveraging principles for mixed fast-slow systems driven by fractional Brownian motionStochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approachChebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motionStochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian MotionLyapunov techniques for stochastic differential equations driven by fractional Brownian motionNumerical implementation of stochastic operational matrix driven by a fractional Brownian motion for solving a stochastic differential equationStochastic averaging principle for dynamical systems with fractional Brownian motionCEV model equipped with the long-memoryAn Itô-Stratonovich formula for Gaussian processes: A Riemann sums approachA stochastic maximum principle for general controlled systems driven by fractional Brownian motionsThe 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processesStochastic Volterra equation driven by Wiener process and fractional Brownian motionFractional noise destroys or induces a stochastic bifurcationStochastic calculus with respect to Gaussian processesTwo-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: averaging principleStochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motionWasserstein asymptotics for the empirical measure of fractional Brownian motion on a flat torus