Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
From MaRDI portal
Publication:6620103
Recommendations
- Noise sensitivity of functionals of fractional Brownian motion driven stochastic differential equations: results and perspectives
- Long-time Hurst regularity of fractional stochastic differential equations and their ergodic means
- A note on the continuity in the Hurst index of the solution of rough differential equations driven by a fractional Brownian motion
- Continuity with respect to the Hurst parameter of solutions to stochastic evolution equations driven by \(H\)-valued fractional Brownian motion
- Continuous dependence of solutions of stochastic differential equations driven by standard and fractional Brownian motion on a parameter
Cites work
- scientific article; zbMATH DE number 1713116 (Why is no real title available?)
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 3560487 (Why is no real title available?)
- A basic course in probability theory
- A fractional Brownian field indexed by \(L^2\) and a varying Hurst parameter
- An inequality of the Hölder type, connected with Stieltjes integration.
- An integrate-and-fire model to generate spike trains with long-range dependence
- Analytic semigroups and optimal regularity in parabolic problems
- Boundary crossing identities for Brownian motion and some nonlinear ODE's
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\)
- Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion
- Density formula and concentration inequalities with Malliavin calculus
- Differential equations driven by fractional Brownian motion
- First-passage phenomena and their applications
- Hitting times for Gaussian processes
- Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
- Integration with respect to fractal functions and stochastic calculus. I
- Laplace transformation and weak convergence with an application to Fluorescence Resonance Energy Transfer (FRET)
- Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion
- Mathematical methods for financial markets.
- Maximum of a fractional Brownian motion: Probabilities of small values
- On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
- On probability laws of solutions to differential systems driven by a fractional Brownian motion
- On the one-sided exit problem for fractional Brownian motion
- SPDEs with fractional noise in space: continuity in law with respect to the Hurst index
- Simulation of hitting times for Bessel processes with non-integer dimension
- Some maximal inequalities for fractional Brownian motion with polynomial drift
- Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\)
- Stochastic calculus with respect to Gaussian processes
- Stochastic integration with respect to Volterra processes
- Stochastic integration with respect to the fractional Brownian motion
- The Malliavin Calculus and Related Topics
Cited in
(1)
This page was built for publication: Lipschitz continuity in the Hurst parameter of functionals of stochastic differential equations driven by a fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6620103)
