An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion
From MaRDI portal
(Redirected from Publication:5423744)
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)- Numerical implementation of stochastic operational matrix driven by a fractional Brownian motion for solving a stochastic differential equation
- Fine properties of fractional Brownian motions on Wiener space
- Laplace approximation for rough differential equation driven by fractional Brownian motion
- The existence of a positive solution for a generalized delay logistic equation with multifractional noise
- Solutions of a disease model with fractional white noise
- Theoretical and empirical analysis of trading activity
- Difference based estimators and infill statistics
- On stochastic integration for volatility modulated Lévy-driven Volterra processes
- Correcting Newton-Côtes integrals by Lévy areas
- Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions
- White noise-based stochastic calculus with respect to multifractional Brownian motion
- An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
- A Remark on the 1/H-Variation of the Fractional Brownian Motion
- Stochastic integration with respect to fractional Brownian motion defined by non-uniform Riemann
- Yet another introduction to rough paths
- On Stratonovich and Skorohod stochastic calculus for Gaussian processes
- scientific article; zbMATH DE number 1944311 (Why is no real title available?)
- Optimal portfolio under fast mean-reverting fractional stochastic environment
- Bifurcation dynamics of the tempered fractional Langevin equation
- Correction to Black-Scholes formula due to fractional stochastic volatility
- Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity
- scientific article; zbMATH DE number 2096685 (Why is no real title available?)
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
- Pathwise decompositions of Brownian semistationary processes
- Portfolio optimization under fast mean-reverting and rough fractional stochastic environment
- Option pricing under fast-varying long-memory stochastic volatility
- Enhanced Gaussian processes and applications
- Stochastic calculus with respect to Gaussian processes
- Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
- Cameron–Martin type theorem for a class of non-Gaussian measures
- Controlled differential equations as Young integrals: a simple approach
- Fractional stochastic differential equations with applications to finance
- A white noise approach to stochastic integration with respect to the Rosenblatt process
- 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)
