An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion
From MaRDI portal
Publication:5423744
DOI10.1007/978-3-540-71189-6_1zbMATH Open1126.60042OpenAlexW165622181MaRDI QIDQ5423744FDOQ5423744
Authors: L. Coutin 
Publication date: 31 October 2007
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-71189-6_1
Recommendations
- Stochastic calculus with respect to the fractional Brownian motion
- Stochastic calculus with respect to fractional Brownian motion
- Fractional Brownian motion: stochastic calculus and applications
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
- scientific article; zbMATH DE number 860010
- Stochastic calculus for fractional Brownian motion and related processes.
- scientific article; zbMATH DE number 2096685
Cited In (34)
- Title not available (Why is that?)
- Stochastic integration with respect to fractional Brownian motion defined by non-uniform Riemann
- Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment
- Yet another introduction to rough paths
- Fine properties of fractional Brownian motions on Wiener space
- Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
- Difference based estimators and infill statistics
- Enhanced Gaussian processes and applications
- Numerical implementation of stochastic operational matrix driven by a fractional Brownian motion for solving a stochastic differential equation
- Fractional stochastic differential equations with applications to finance
- An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
- Title not available (Why is that?)
- Theoretical and empirical analysis of trading activity
- Controlled differential equations as Young integrals: a simple approach
- Laplace approximation for rough differential equation driven by fractional Brownian motion
- Correcting Newton-Côtes integrals by Lévy areas
- On stochastic integration for volatility modulated Lévy-driven Volterra processes
- Bifurcation dynamics of the tempered fractional Langevin equation
- Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
- A white noise approach to stochastic integration with respect to the Rosenblatt process
- Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
- White noise-based stochastic calculus with respect to multifractional Brownian motion
- Solutions of a disease model with fractional white noise
- Pathwise Decompositions of Brownian Semistationary Processes
- Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
- The existence of a positive solution for a generalized delay logistic equation with multifractional noise
- Cameron–Martin type theorem for a class of non-Gaussian measures
- Optimal Portfolio under Fast Mean-Reverting Fractional Stochastic Environment
- On Stratonovich and Skorohod stochastic calculus for Gaussian processes
- Option pricing under fast‐varying long‐memory stochastic volatility
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
- Stochastic calculus with respect to Gaussian processes
- A Remark on the 1/H-Variation of the Fractional Brownian Motion
- Rough differential equations driven by signals in Besov spaces
This page was built for publication: An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5423744)
