Approximation of the fractional Brownian sheetVIAOrnstein-Uhlenbeck sheet

DOI10.1051/PS:2007010MaRDI QIDQ5429595zbMATH OpenOpenAlexFDO

Authors L. Coutin, Monique Pontier

Publication date 30 November 2007

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL http://www.numdam.org/item?id=PS_2007__11__115_0, https://eudml.org/doc/104363

zbMATH Keywords

anisotropic fractional Brownian sheetrandom field simulation and approximation

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Random fields (60G60) Random fields; image analysis (62M40)

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Cited in

(11)

• Fractional Brownian sheet
• Approximation in law to the d-parameter fractional Brownian sheet based on the functional invariance principle
• Stochastic Green's theorem for fractional Brownian sheet and its application
• Approximation of fractional Brownian sheet by Wiener integral
• Affine fractional stochastic volatility models
• Lifting the Heston model
• Representation of a fractional Brownian motion in terms of an infinite-dimensional Ornstein-Uhlenbeck process
• Approximation to Multifractional Riemann-Liouville Brownian Sheet
• Impact of rough stochastic volatility models on long-term life insurance pricing
• Detecting rough volatility: a filtering approach
• A strong uniform approximation of fractional Brownian motion by means of transport processes

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