Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
From MaRDI portal
Publication:5933616
DOI10.1016/S0167-7152(00)00157-7zbMath0983.60052OpenAlexW2021101842WikidataQ128090054 ScholiaQ128090054MaRDI QIDQ5933616
Esko Valkeila, Yuliya S. Mishura, Jean Mémin
Publication date: 2 April 2002
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00157-7
Related Items (only showing first 100 items - show all)
Averaging principle for the wave equation driven by a stochastic measure ⋮ Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion ⋮ Lyapunov exponents of PDEs driven by fractional noise with Markovian switching ⋮ General Fractional Multiparameter White Noise Theory and Stochastic Partial Differential Equations ⋮ Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion ⋮ Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise ⋮ Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions ⋮ Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter \(H> \frac12\) ⋮ Intermittency for the stochastic heat equation driven by a rough time fractional Gaussian noise ⋮ Joint Hölder continuity of parabolic Anderson model ⋮ Some recent progress on stochastic heat equations ⋮ Minimax estimation of linear functionals under squared error loss ⋮ Distribution dependent SDEs driven by fractional Brownian motions ⋮ Heat equation with general stochastic measure colored in time ⋮ Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion ⋮ Riemann integral of a random function and the parabolic equation with a general stochastic measure ⋮ Spatial averages for the Parabolic Anderson model driven by rough noise ⋮ Small ball properties and representation results ⋮ Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion ⋮ Unnamed Item ⋮ Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises ⋮ Stochastic fractional heat equations driven by fractional noises ⋮ The high-order SPDEs driven by multi-parameter fractional noises ⋮ Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter ⋮ Stochastic partial differential equation with reflection driven by fractional noises ⋮ Almost periodic and periodic solutions of differential equations driven by the fractional Brownian motion with statistical application ⋮ Averaging principle for equation driven by a stochastic measure ⋮ From directed polymers in spatial-correlated environment to stochastic heat equations driven by fractional noise in \(1 + 1\) dimensions ⋮ Evolutionary equations driven by fractional Brownian motion ⋮ The convergence of a numerical scheme for additive fractional stochastic delay equations with \(H>\frac 12\) ⋮ The stochastic wave equation with fractional noise: a random field approach ⋮ Properties of integrals with respect to fractional Poisson processes with compact kernels ⋮ Stochastic Partial Differential Equations Driven by General Stochastic Measures ⋮ A maximal inequality for fractional Brownian motions ⋮ Averaging principle for the one-dimensional parabolic equation driven by stochastic measure ⋮ Fractional stochastic differential equations satisfying fluctuation-dissipation theorem ⋮ Asymptotic behaviors for distribution dependent SDEs driven by fractional Brownian motions ⋮ Parabolic Anderson model with rough noise in space and rough initial conditions ⋮ Stochastic control problem for distribution dependent SDE driven by a Gauss Volterra process ⋮ An explicit Euler-Maruyama method for McKean-Vlasov SDEs driven by fractional Brownian motion ⋮ Fractional processes and their statistical inference: an overview ⋮ Transport equation driven by a stochastic measure ⋮ The Burgers equation driven by a stochastic measure ⋮ Fractional stochastic wave equation driven by a Gaussian noise rough in space ⋮ Stochastic heat equation with Burgers term driven by fractional noises with two reflecting walls ⋮ On a jump-type stochastic fractional partial differential equation with fractional noises ⋮ Nonparametric estimation of trend for stochastic differential equations driven by fractional Brownian motion ⋮ Stochastic heat equation with multiplicative fractional-colored noise ⋮ Stochastic generalized Burgers equations driven by fractional noises ⋮ Stochastic partial differential equations driven by space-time fractional noises ⋮ On a fractional SPDE driven by fractional noise and a pure jump Lévy noise in \(\mathbb{R}^d\) ⋮ Averaging principle for the heat equation driven by a general stochastic measure ⋮ Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\). ⋮ Probabilistic models for vortex filaments based on fractional Brownian motion. ⋮ Optimal tracking for bilinear stochastic system driven by fractional Brownian motions ⋮ Fractional stochastic partial differential equation for random tangent fields on the sphere ⋮ On a mixed fractional Burgers type equation with polynomial nonlinearity and perturbed by fractional Brownian sheet ⋮ Reflected SPDEs driven by fractional noises ⋮ A non-conservation stochastic partial differential equation driven by anisotropic fractional Lévy random field ⋮ Stochastic evolution equations with Volterra noise ⋮ Mixed fractional heat equation driven by fractional Brownian sheet and Lévy process ⋮ Stochastic heat equation driven by fractional noise and local time ⋮ On a semilinear stochastic partial differential equation with double-parameter fractional noises ⋮ Weak and strong discrete-time approximation of fractional SDEs ⋮ Nonparametric estimation of trend for stochastic differential equations driven by mixed fractional Brownian motion ⋮ Occupation densities for certain processes related to fractional Brownian motion ⋮ Large deviation principle for the fourth-order stochastic heat equations with fractional noises ⋮ Maximal inequalities for the iterated fractional integrals ⋮ Stochastic fractional Anderson models with fractional noises ⋮ Notes on the two-dimensional fractional Brownian motion ⋮ STOCHASTIC CAHN–HILLIARD EQUATION WITH FRACTIONAL NOISE ⋮ Integral equations with respect to a general stochastic measure ⋮ A strong approximation for double subfractional integrals ⋮ A central limit theorem for the stochastic wave equation with fractional noise ⋮ Besov regularity of stochastic measures ⋮ Convergence of \(p\)-th mean in an averaging principle for stochastic partial differential equations driven by fractional Brownian motion ⋮ Nonparametric estimation of the trend in reflected fractional SDE ⋮ Weak solutions to stochastic differential equations driven by fractional brownian motion ⋮ On weak approximations of integrals with respect to fractional Brownian motion ⋮ On a Class of Stochastic Anderson Models with Fractional Noises ⋮ On Double Stratonovich Fractional Integrals and Some Strong and Weak Approximations ⋮ Stochastic partial differential equations with gradient driven by space-time fractional noises ⋮ Optimal strong convergence rates of some Euler-type timestepping schemes for the finite element discretization SPDEs driven by additive fractional Brownian motion and Poisson random measure ⋮ Nonparametric estimation for stochastic differential equations driven by mixed fractional Brownian motion with random effects ⋮ Schrödinger equation with Gaussian potential ⋮ Existence and exponential stability in the \(p\)th moment for impulsive neutral stochastic integro-differential equations driven by mixed fractional Brownian motion ⋮ Stochastic modeling of unresolved scales in complex systems ⋮ Approximation of the solution to the parabolic equation driven by stochastic measure ⋮ Approximation of solutions of the stochastic wave equation by using the Fourier series ⋮ Properties of integrals with respect to a general stochastic measure in a stochastic heat equation ⋮ Quantitative central limit theorems for the parabolic Anderson model driven by colored noises ⋮ Jump type Cahn-Hilliard equations with fractional noises ⋮ Cable equation with a general stochastic measure ⋮ Inequalities for the \(\mathbb L^p\) norms of integrals with respect to a fractional Brownian motion ⋮ Representations of fractional Brownian motion using vibrating strings ⋮ Evolution Equations Driven by General Stochastic Measures in Hilbert Space ⋮ Asymptotic properties of the parabolic equation driven by stochastic measure ⋮ On drift parameter estimation in models with fractional Brownian motion ⋮ Stability of Fractional SDEs with Markov Switching Perturbed by Transition Rate Matrices ⋮ Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
Cites Work
- Unnamed Item
- Stochastic and multiple Wiener integrals for Gaussian processes
- An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
- An isometric approach to generalized stochastic integrals
- Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
- On some maximal inequalities for fractional Brownian motions
- Arbitrage with Fractional Brownian Motion
This page was built for publication: Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
