Transformation formulas for fractional Brownian motion

DOI10.1016/J.SPA.2006.02.006MaRDI QIDQ855681zbMATHOpenAlexFDO

Authors 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

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)

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Cites work

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

Cited in

(41)

• Set-valued stochastic integrals for convoluted Lévy processes
• Generalized Wiener–Hermite integrals and rough non-Gaussian Ornstein–Uhlenbeck process
• Controlled drift estimation in fractional diffusion linear systems
• Donsker type theorem for fractional Poisson process
• Maximum likelihood drift estimation for the mixing of two fractional Brownian motions
• Change-of-variable formula for the bi-dimensional fractional Brownian motion in Brownian time
• Statistical analysis of the mixed fractional Ornstein-Uhlenbeck process
• Normal convergence using Malliavin calculus with applications and examples
• Weak solutions for stochastic differential equations with additive fractional noise
• Representation formulae for the fractional Brownian motion
• Construction of maximum likelihood estimator in the mixed fractional-fractional Brownian motion model with double long-range dependence
• Optimization of small deviation for mixed fractional Brownian motion with trend
• On Chernoff's test for a fractional Brownian motion
• Hypothesis testing in a fractional Ornstein-Uhlenbeck model
• Boundary non-crossing probabilities for fractional Brownian motion with trend
• Harnack inequalities for SDEs driven by subordinator fractional Brownian motion
• Exact asymptotics of small deviations for a stationary Ornstein-Uhlenbeck process and some Gaussian diffusion processes in the L p -norm, 2 ≤ p ≤ ∞
• Prediction law of fractional Brownian motion
• A Bayesian sequential test for the drift of a fractional Brownian motion
• Minimization of the entropy for a mixture of standard and fractional Brownian motions
• A fractional Donsker theorem
• A generalization of an inequality by N. V. Krylov
• Stochastic differential equations driven by an additive fractional Brownian sheet
• Backward SDEs driven by Gaussian processes
• Comment on ``A computational technique to classify several fractional Brownian motion processes
• Stochastic differential equations with time-dependent coefficients driven by fractional Brownian motion
• Harnack inequalities for functional SDEs driven by subordinate fractional Brownian motion
• Bounds for expected maxima of Gaussian processes and their discrete approximations
• Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
• Differentiation formula in Stratonovich version for fractional Brownian sheet
• Rough volatility and CGMY jumps with a finite history and the rough Heston model -- small-time asymptotics in the \(k\sqrt{t}\) regime
• Decomposition formula for rough Volterra stochastic volatility models
• Gaussian Volterra processes with power-type kernels. II
• Shift Harnack inequality and integration by parts formula for functional SDEs driven by fractional Brownian motion
• Properties of integrals with respect to fractional Poisson processes with compact kernels
• Drift parameter estimation for infinite-dimensional fractional Ornstein-Uhlenbeck process
• On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion
• Deconvolution of fractional brownian motion
• Gaussian random bridges and a geometric model for information equilibrium
• Small deviations for mixed fractional Brownian motion with trend and with Hurst index \(H>1/2\)
• Stochastic mortality model with respect to mixed fractional Poisson process: calibration and empirical analysis of long-range dependence in actuarial valuation

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