scientific article; zbMATH DE number 7163385
From MaRDI portal
Publication:5214850
zbMath1431.60038MaRDI QIDQ5214850
Davood Ahmadian, Omid Farkhondeh Rouz
Publication date: 5 February 2020
Full work available at URL: http://www.spm.uem.br/bspm/pdf/vol38-5/12.pdf
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Fractional processes, including fractional Brownian motion (60G22) Computational methods for problems pertaining to probability theory (60-08) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
Cites Work
- Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion
- On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
- Laplace transform and finite difference methods for the Black-Scholes equation
- Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
- Differential equations driven by fractional Brownian motion
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
- Implicit Euler approximation of stochastic evolution equations with fractional Brownian motion
- Laplace transform inversion on the real line is truly ill-conditioned
- Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
- Stability analysis of linear distributed order fractional systems with distributed delays
- Numerical solution of stochastic fractional differential equations
- FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
- Stochastic analysis of fractional brownian motions
- Stochastic integration with respect to the fractional Brownian motion
- A probabilistic analogue of the mean value theorem and its applications to reliability theory
- Stability analysis of neutral linear fractional system with distributed delays
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: