General transfer formula for stochastic integral with respect to multifractional Brownian motion

DOI10.1007/S10959-023-01258-5MaRDI QIDQ6204809zbMATH OpenFDO

Authors Christian Bender, Joachim Lebovits, Jacques Lévy-Véhel

Publication date 2 April 2024

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10959-023-01258-5

zbMATH Keywords

fractional and multifractional Brownian motionswhite noise theoryWick-Itô integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) White noise theory (60H40)

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Cites work

• A General Fractional White Noise Theory And Applications To Finance
• An \(S\)-transform approach to integration with respect to a fractional Brownian motion
• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
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• From stochastic integral w.r.t. fractional Brownian motion to stochastic integral w.r.t. multifractional Brownian motion
• Gaussian Hilbert Spaces
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• scientific article; zbMATH DE number 3127846 (Why is no real title available?)
• scientific article; zbMATH DE number 885958 (Why is no real title available?)
• Multifractional processes with random exponent
• Stochastic calculus for Gaussian processes and application to hitting times
• Stochastic calculus with respect to Gaussian processes
• Stochastic calculus with respect to Gaussian processes
• Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions
• Stochastic partial differential equations. A modeling, white noise functional approach
• White noise-based stochastic calculus with respect to multifractional Brownian motion
• Wick calculus for nonlinear Gaussian functionals

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