Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2
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Publication:5488653
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Cites work
- scientific article; zbMATH DE number 438987 (Why is no real title available?)
- scientific article; zbMATH DE number 2096685 (Why is no real title available?)
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- An extension of the divergence operator for Gaussian processes
- Multiple Wiener integral
- On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
- Stochastic analysis of the fractional Brownian motion
- Stochastic calculus with respect to Gaussian processes
- Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
- The Representation of Functionals of Brownian Motion by Stochastic Integrals
Cited in
(4)- Group sequential tests under fractional Brownian motion in monitoring clinical trials
- scientific article; zbMATH DE number 193713 (Why is no real title available?)
- On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
- Sample size determination for group sequential test under fractional Brownian motion
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