Transformation formulas for fractional Brownian motion

DOI10.1016/J.SPA.2006.02.006zbMATH Open1102.60032OpenAlexW1978989007MaRDI QIDQ855681FDOQ855681

Céline Jost

Publication date: 7 December 2006

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.02.006

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zbMATH Keywords

fractional calculusintegral transformstochastic integration

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional derivatives and integrals (26A33) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cites Work

• Fractional Brownian Motions, Fractional Noises and Applications
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• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Stochastic analysis of the fractional Brownian motion
• Integration questions related to fractional Brownian motion
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
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• On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion
• Deconvolution of fractional brownian motion

Cited In (40)

• A Bayesian sequential test for the drift of a fractional Brownian motion
• Gaussian Volterra processes with power-type kernels. II
• Hypothesis testing in a fractional Ornstein-Uhlenbeck model
• Comment on ``A computational technique to classify several fractional Brownian motion processes
• On Chernoff's test for a fractional Brownian motion
• A generalization of an inequality by N. V. Krylov
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• DECOMPOSITION FORMULA FOR ROUGH VOLTERRA STOCHASTIC VOLATILITY MODELS
• Normal convergence using Malliavin calculus with applications and examples
• Properties of integrals with respect to fractional Poisson processes with compact kernels
• Donsker type theorem for fractional Poisson process
• Shift Harnack inequality and integration by parts formula for functional SDEs driven by fractional Brownian motion
• Gaussian random bridges and a geometric model for information equilibrium
• A Fractional Donsker Theorem
• Weak solutions for stochastic differential equations with additive fractional noise
• Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion
• Rough volatility and CGMY jumps with a finite history and the Rough Heston model – small-time asymptotics in the regime
• Maximum Likelihood Drift Estimation for the Mixing of Two Fractional Brownian Motions
• On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion
• Change-of-variable formula for the bi-dimensional fractional Brownian motion in Brownian time
• Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence
• Boundary non-crossing probabilities for fractional Brownian motion with trend
• Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process
• Statistical Analysis of the Mixed Fractional Ornstein--Uhlenbeck Process
• Prediction law of fractional Brownian motion
• Minimization of the entropy for a mixture of standard and fractional Brownian motions
• Representation Formulae for the Fractional Brownian Motion
• Controlled drift estimation in fractional diffusion linear systems
• Conditional Characteristic Functions of Molchan-Golosov Fractional Lévy Processes with Application to Credit Risk
• Optimization of small deviation for mixed fractional Brownian motion with trend
• Harnack inequalities for SDEs driven by subordinator fractional Brownian motion
• Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation
• Set-valued stochastic integrals for convoluted Lévy processes
• Backward SDEs driven by Gaussian processes
• Exact asymptotics of small deviations for a stationary Ornstein-Uhlenbeck process and some Gaussian diffusion processes in the L p -norm, 2 ≤ p ≤ ∞
• Differentiation formula in Stratonovich version for fractional Brownian sheet
• Harnack inequalities for functional SDEs driven by subordinate fractional Brownian motion
• Stochastic differential equations driven by an additive fractional Brownian sheet
• Small deviations for mixed fractional Brownian motion with trend and with Hurst index H>1/2
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process

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