scientific article; zbMATH DE number 1256059

zbMATH Open0937.28001MaRDI QIDQ4229941FDOQ4229941

Authors: Richard M. Dudley, Rimas Norvaiša 

Publication date: 1 March 1999

Title of this publication is not available (Why is that?)

Recommendations

• \(p\)-variation and integration of sample functions of stochastic processes
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zbMATH Keywords

integration theory\(p\)-variation normsrefinement-Riemann-Stieltjes integralrefinement-Young-Stieltjes integralstochastic integrals and processes

Mathematics Subject Classification ID

Sample path properties (60G17) Stochastic integrals (60H05) Research exposition (monographs, survey articles) pertaining to measure and integration (28-02) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

Cited In (37)

• On the convergence of stochastic integrals with respect to \(p\)-semimartingales
• \(p\)-variation of strong Markov processes.
• On semilinear stochastic fractional differential equations of Volterra type
• Pricing of equity indexed annuity under fractional Brownian motion model
• Computation of \(p\)-variation
• Yet another introduction to rough paths
• Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes
• Small ball estimates in \(p\)-variation for stable processes
• Stochastic integral equations without probability
• A note on higher dimensional \(p\)-variation
• A note on the notion of geometric rough paths
• Stability for a class of semilinear fractional stochastic integral equations
• \(p\)-variation and integration of sample functions of stochastic processes
• On Stratonovich integral equations driven by continuous \(p\)-semimartingales
• On tightness of solutions of stochastic integral equations driven by \(p\)-semimartingales
• The Jain-Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory
• Semilinear fractional stochastic differential equations driven by a \(\gamma\)-Hölder continuous signal with \(\gamma > 2/3\)
• On bifractional Brownian motion
• Rough path analysis for local time of \(G\)-Brownian motion
• Simple arbitrage
• SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation
• The existence and uniqueness of the solution of an integral equation driven by a \(p\)-semimartin\-gale of special type.
• Integration with respect to the \(G\)-Brownian local time
• Stochastic integration of processes with finite generalized variations. I
• Approximating some Volterra type stochastic integrals with applications to parameter estimation.
• Inequalities for the \(\mathbb L^p\) norms of integrals with respect to a fractional Brownian motion
• Rough functions: \(p\)-variation, calculus, and index estimation
• Concrete functional calculus
• Differential equations driven by rough paths with jumps
• Nonlinear integral equations with respect to functions having bounded \(p\)-variation
• Chain rules and \(p\)-variation
• Pathwise Stieltjes integrals of discontinuously evaluated stochastic processes
• A Remark on the 1/H-Variation of the Fractional Brownian Motion
• SDEs with constraints driven by semimartingales and processes with bounded \(p\)-variation
• Derivative for the intersection local time of two independent fractional Brownian motions
• Title not available (Why is that?)
• On the two-parameter fractional Brownian motion and Stieltjes integrals for Hölder functions.

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