Stochastic Calculus for Fractional Brownian Motion and Applications
From MaRDI portal
Publication:5452309
DOI10.1007/978-1-84628-797-8zbMath1157.60002OpenAlexW2065096983MaRDI QIDQ5452309
Francesca Biagini, Tu-Sheng Zhang, Bernt Øksendal, Yaozhong Hu
Publication date: 26 March 2008
Published in: Probability and Its Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-1-84628-797-8
fractional Brownian motionMalliavin calculusstochastic integrationHurst parameterdivergence integralfractional white noisefractional stochastic calculusbackward stochastic differential equations with fractional noisestochastic partial differential equations with fractional noiseWick-Itô-Stratonovich integral
Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) White noise theory (60H40) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Related Items (only showing first 100 items - show all)
Computer Simulations of Self-Repelling Fractional Brownian Motion ⋮ Maximum Likelihood Drift Estimation for the Mixing of Two Fractional Brownian Motions ⋮ Anomalous diffusion: fractional Brownian motion vs fractional Ito motion ⋮ Finite-energy Lévy-type motion through heterogeneous ensemble of Brownian particles ⋮ Classification of stochastic processes by convolutional neural networks ⋮ High order Anderson parabolic model driven by rough noise in space ⋮ Unnamed Item ⋮ Stochastic pseudo-parabolic equations with fractional derivative and fractional Brownian motion ⋮ Smoothness of self-intersection local time of multidimensional fractional Brownian motion ⋮ Optimal investment and life insurance strategies in a mixed jump-diffusion framework ⋮ Limit theorems related to the integral functionals of one dimensional fractional Brownian motion ⋮ Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises ⋮ Approximate controllability of retarded impulsive stochastic integro-differential equations driven by fractional Brownian motion ⋮ Amplitude equations for SPDEs driven by fractional additive noise with small hurst parameter ⋮ Existence of solutions for fractional neutral functional differential equations driven by fBm with infinite delay ⋮ Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion ⋮ Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter ⋮ Optimization of small deviation for mixed fractional Brownian motion with trend ⋮ Strong solutions for jump-type stochastic differential equations with non-Lipschitz coefficients ⋮ Large deviations for functionals of some self-similar Gaussian processes ⋮ T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ Asymptotic behaviours of a stochastic delay equation driven by an fBm in Hilbert space ⋮ Mean-Field SDE Driven by a Fractional Brownian Motion and Related Stochastic Control Problem ⋮ Stochastic analysis for vector-valued generalized grey Brownian motion ⋮ Determining the initial distribution in space-fractional diffusion by a negative exponential regularization method ⋮ Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions ⋮ Numerical solution of nonlinear stochastic differential equations with fractional Brownian motion using fractional-order Genocchi deep neural networks ⋮ Stochastic fractional differential inclusion driven by fractional Brownian motion ⋮ Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes ⋮ Existence and Exponential Stability for Neutral Stochastic Integrodifferential Equation Driven by Fractional Brownian Motion and Poisson Jumps ⋮ Convergence rate of synchronization of coupled stochastic lattice systems with additive fractional noise ⋮ Time averaging, ageing and delay analysis of financial time series ⋮ Harnack type inequalities for SDEs driven by fractional Brownian motion with Markovian switching ⋮ Solution processes for second-order linear fractional differential equations with random inhomogeneous parts ⋮ Evaluation of integrals with fractional Brownian motion for different Hurst indices ⋮ Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion ⋮ NUMERICAL SOLUTION OF PERSISTENT PROCESSES-BASED FRACTIONAL STOCHASTIC DIFFERENTIAL EQUATIONS ⋮ Stochastic controls of fractional Brownian motion ⋮ Long-range dependent completely correlated mixed fractional Brownian motion ⋮ On the radius of self-repellent fractional Brownian motion ⋮ Stabilization of delayed neutral semi-Markovian jumping stochastic systems driven by fractional Brownian motions: \(H_\infty\) control approach ⋮ Fractional neutral stochastic integrodifferential equations with Caputo fractional derivative: Rosenblatt process, Poisson jumps and Optimal control ⋮ On a fractional Rayleigh–Stokes equation driven by fractional Brownian motion ⋮ Synchronization for fractional FitzHugh–Nagumo equations with fractional Brownian motion ⋮ An explicit Euler-Maruyama method for McKean-Vlasov SDEs driven by fractional Brownian motion ⋮ Stochastic averaging principle for two-time-scale SPDEs driven by fractional Brownian motion with distribution dependent coefficients ⋮ New results for stochastic fractional pseudo-parabolic equations with delays driven by fractional Brownian motion ⋮ A generalized stochastic process: fractional \(G\)-Brownian motion ⋮ A strong averaging principle rate for two-time-scale coupled forward-backward stochastic differential equations driven by fractional Brownian motion ⋮ Mixed sub-fractional Brownian motion and drift estimation of related Ornstein-Uhlenbeck process ⋮ Backward Euler method for stochastic differential equations with non-Lipschitz coefficients driven by fractional\ Brownian motion ⋮ Strong approximation for fractional wave equation forced by fractional Brownian motion with Hurst parameter \(H \in ( 0 , \frac{1}{2} )\) ⋮ On the equilibrium of insider trading under information acquisition with long memory ⋮ Maximum principle for mean‐field controlled systems driven by a fractional Brownian motion ⋮ Averaging principles for mixed fast-slow systems driven by fractional Brownian motion ⋮ ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK ⋮ Mean-field optimal control problem of SDDES driven by fractional Brownian Motion ⋮ Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model ⋮ Clustering of extreme events in time series generated by the fractional Ornstein–Uhlenbeck equation ⋮ The Convergence of exponential Euler method for weighted fractional stochastic equations ⋮ Fractional stochastic partial differential equation for random tangent fields on the sphere ⋮ Exponential stability of impulsive fractional neutral stochastic differential equations ⋮ On terminal value problems for bi-parabolic equations driven by Wiener process and fractional Brownian motions ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion ⋮ Uniform attractors for a class of stochastic evolution equations with multiplicative fractional noise ⋮ A non-conservation stochastic partial differential equation driven by anisotropic fractional Lévy random field ⋮ Lp-Theory for the fractional time stochastic heat equation with an infinite-dimensional fractional Brownian motion ⋮ Multiple integrals and expansion of solutions of differential equations driven by rough paths and by fractional Brownian motions ⋮ A Fractional Donsker Theorem ⋮ Stochastic calculus for fractional Lévy processes ⋮ A Wavelet-Based Almost-Sure Uniform Approximation of Fractional Brownian Motion with a Parallel Algorithm ⋮ Unnamed Item ⋮ Portfolio Optimization under Fast Mean-Reverting and Rough Fractional Stochastic Environment ⋮ Option pricing under fast‐varying long‐memory stochastic volatility ⋮ Unnamed Item ⋮ The maximum rate of convergence for the approximation of the fractional Lévy area at a single point ⋮ Unnamed Item ⋮ Schrödinger equation with Gaussian potential ⋮ Forward integrals and SDE with fractal noise ⋮ Unnamed Item ⋮ On impulsive Hilfer fractional stochastic differential system driven by Rosenblatt process ⋮ PRICING DERIVATIVES IN HERMITE MARKETS ⋮ Nonlinear Forecasting of the Generalized Kuramoto–Sivashinsky Equation ⋮ Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motions ⋮ Unnamed Item ⋮ A note on the generation of random dynamical systems from fractional stochastic delay differential equations ⋮ A TIME FRACTIONAL FUNCTIONAL DIFFERENTIAL EQUATION DRIVEN BY THE FRACTIONAL BROWNIAN MOTION ⋮ On a stochastic nonclassical diffusion equation with standard and fractional Brownian motion ⋮ Stochastic Volterra integro-differential equations driven by fractional Brownian motion in a Hilbert space ⋮ Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets ⋮ Existence and uniqueness of mild solutions to neutral impulsive fractional stochastic delay differential equations driven by both Brownian motion and fractional Brownian motion ⋮ Stability of Fractional SDEs with Markov Switching Perturbed by Transition Rate Matrices ⋮ The quadratic covariation for a weighted fractional Brownian motion ⋮ Distribution and pressure of active Lévy swimmers under confinement ⋮ Controllability of neutral stochastic evolution equations driven by fBm with Hurst parameter less than 1/2 ⋮ On the non-commutative multifractional Brownian motion ⋮ An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion ⋮ Harnack inequalities for functional SDEs driven by subordinate fractional Brownian motion ⋮ Simulation of volatility modulated Volterra processes using hyperbolic stochastic partial differential equations
This page was built for publication: Stochastic Calculus for Fractional Brownian Motion and Applications
