On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
From MaRDI portal
Publication:4464388
DOI10.1080/19451120310001642613zbMath1043.60027MaRDI QIDQ4464388
Christian Bender, Robert J. Elliott
Publication date: 27 May 2004
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/19451120310001642613
fractional Brownian motion; quasi-conditional expectation; fractional Clark-Ocone formula; fractional chaos expansion
60G15: Gaussian processes
60H40: White noise theory
60H05: Stochastic integrals
60H07: Stochastic calculus of variations and the Malliavin calculus
Related Items
Conditional Distributions of Processes Related to Fractional Brownian Motion, Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk, Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2, Central limit theorem for weighted local time of \(L^2\) modulus of fractional Brownian motion, Stochastic analysis of Gaussian processes via Fredholm representation, A general non-existence result for linear BSDEs driven by Gaussian processes, Generalized Gaussian bridges, Fractional Lévy processes on Gel'fand triple and stochastic integration, The fractional and mixed-fractional CEV model, Explicit solutions of a class of linear fractional BSDEs, Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous‐Time ARMA–GARCH‐Type Models with Long Memory