On the Wiener integral with respect to the fractional Brownian motion on an interval

DOI10.1016/J.JMAA.2006.07.100zbMATH Open1185.60057OpenAlexW2001372448MaRDI QIDQ879050FDOQ879050

Maria Jolis

Publication date: 4 May 2007

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2006.07.100

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zbMATH Keywords

fractional Brownian motionfractional Sobolev spacesWiener integral

Mathematics Subject Classification ID

Applications of functional analysis in probability theory and statistics (46N30) Fractional processes, including fractional Brownian motion (60G22) Sobolev spaces and other spaces of ``smooth functions, embedding theorems, trace theorems (46E35) Stochastic integrals (60H05)

Cites Work

• Stochastic calculus with respect to Gaussian processes
• Title not available (Why is that?)
• 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?
• Title not available (Why is that?)

Cited In (32)

• T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion
• Almost sure and moment stability properties of fractional order Black-Scholes model
• On Double Stratonovich Fractional Integrals and Some Strong and Weak Approximations
• Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12)
• Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
• Chebyshev cardinal wavelets for nonlinear stochastic differential equations driven with variable-order fractional Brownian motion
• Lévy area for Gaussian processes: a double Wiener-Itô integral approach
• Inner product spaces of integrands associated to subfractional Brownian motion
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of a class of Gaussian process
• Title not available (Why is that?)
• Solving nonlinear stochastic differential equations with fractional Brownian motion using reducibility approach
• The Wiener integral with respect to second order processes with stationary increments
• A decomposition of the bifractional Brownian motion and some applications
• A fractional Brownian field indexed by \(L^2\) and a varying Hurst parameter
• On the Wiener chaos expansion of the signature of a Gaussian process
• Continuity in the Hurst parameter of the law of the symmetric integral with respect to the fractional Brownian motion
• Lyapunov techniques for stochastic differential equations driven by fractional Brownian motion
• The fBm-driven Ornstein-Uhlenbeck process: Probability density function and anomalous diffusion
• Integration questions related to fractional Brownian motion
• Linear SPDEs driven by stationary random distributions
• Parameter estimation for an Ornstein-Uhlenbeck process driven by a general Gaussian noise
• On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• On the Wiener integral with respect to the fractional Brownian motion
• Approximation of fractional Brownian motion by Wiener integrals
• Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion
• Limiting measure and stationarity of solutions to stochastic evolution equations with Volterra noise
• Stochastic integration with respect to fractional processes in Banach spaces
• Parameter estimation for Vasicek model driven by a general Gaussian noise
• Approximation of fractional Brownian sheet by Wiener integral
• On Stratonovich and Skorohod stochastic calculus for Gaussian processes
• Multilevel Monte Carlo for stochastic differential equations with additive fractional noise

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