Stochastic analysis of Gaussian processes via Fredholm representation
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Publication:507678
DOI10.1155/2016/8694365zbMath1384.60072arXiv1410.2230OpenAlexW2166133095WikidataQ59125095 ScholiaQ59125095MaRDI QIDQ507678
Tommi Sottinen, Lauri Viitasaari
Publication date: 7 February 2017
Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.2230
Gaussian processes (60G15) Applications of stochastic analysis (to PDEs, etc.) (60H30) General theory of stochastic processes (60G07) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (19)
Fredholm representation of multiparameter Gaussian processes with applications to equivalence in law and series expansions ⋮ Gaussian Volterra processes with power-type kernels. I ⋮ Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions ⋮ Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences ⋮ The characteristic function of Gaussian stochastic volatility models: an analytic expression ⋮ Gaussian Volterra processes: Asymptotic growth and statistical estimation ⋮ The Laplace transform of the integrated Volterra Wishart process ⋮ Long-range dependent completely correlated mixed fractional Brownian motion ⋮ Large deviations for conditional Volterra processes ⋮ Integration-by-parts characterizations of Gaussian processes ⋮ CONDITIONAL-MEAN HEDGING UNDER TRANSACTION COSTS IN GAUSSIAN MODELS ⋮ Linear backward stochastic differential equations with Gaussian Volterra processes ⋮ Optimal designs for linear models with Fredholm-type errors ⋮ Stochastic calculus with respect to Gaussian processes ⋮ Pathwise asymptotics for Volterra type stochastic volatility models ⋮ Prediction law of mixed Gaussian Volterra processes ⋮ Transfer principle for $n$th order fractional Brownian motion with applications to prediction and equivalence in law ⋮ Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime ⋮ Gaussian Volterra processes with power-type kernels. II
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