STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE
From MaRDI portal
Publication:5468897
DOI10.1142/S0219493706001645zbMath1095.60017MaRDI QIDQ5468897
Tyrone E. Duncan, Bozenna Pasik-Duncan, Jacek Jakubowski
Publication date: 3 May 2006
Published in: Stochastics and Dynamics (Search for Journal in Brave)
60G15: Gaussian processes
60H05: Stochastic integrals
60H07: Stochastic calculus of variations and the Malliavin calculus
60G18: Self-similar stochastic processes
Related Items
FRACTIONAL LÉVY PROCESSES AND NOISES ON GEL′FAND TRIPLE, Approximate controllability of stochastic equations in a Hilbert space with fractional Brownian motions, Stochastic Korteweg-de Vries equation driven by fractional Brownian motion, Some linear-quadratic stochastic differential games for equations in Hilbert spaces with fractional Brownian motions, Well-posedness of stochastic KdV-BO equation driven by fractional Brownian motion, Fractional stochastic Volterra equation perturbed by fractional Brownian motion, Cylindrical fractional Brownian motion in Banach spaces, Fractional Lévy processes on Gel'fand triple and stochastic integration, Stochastic Burgers' equation driven by fractional Brownian motion, Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise, Generalized fractional Lévy random fields on Gel'fand triple: a white noise approach, Prediction for some processes related to a fractional Brownian motion, Stochastic elastic equation driven by fractional Brownian motion, Fractional white noise perturbations of parabolic Volterra equations, Stochastic elastic equation driven by multiplicative multi-parameter fractional noise, Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2, On Parabolic Volterra Equations Disturbed by Fractional Brownian Motions, Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market, Solutions of linear and semilinear distributed parameter equations with a fractional Brownian motion, EXISTENCE CRITERIA FOR SOLUTIONS OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH SKEW-SYMMETRIC DIFFERENTIAL OPERATOR AND ADDITIVE FRACTIONAL BROWNIAN NOISE
Cites Work
- Itô's formula with respect to fractional Brownian motion and its application
- Stochastic calculus with anticipating integrands
- Stochastic analysis of the fractional Brownian motion
- A parabolic stochastic differential equation with fractional Brownian motion input
- The Skorohod integral in conuclear spaces
- Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise
- FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
- Stochastic analysis of fractional brownian motions
- Stochastic integration with respect to the fractional Brownian motion
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Fractional Brownian Motions, Fractional Noises and Applications
