p-variation of an integral functional driven by fractional Brownian motion
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\(p\)-variation of an integral functional driven by fractional Brownian motion
\(p\)-variation of an integral functional driven by fractional Brownian motion
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Cites work
- scientific article; zbMATH DE number 3809880 (Why is no real title available?)
- scientific article; zbMATH DE number 2149888 (Why is no real title available?)
- An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- Integral transformations and anticipative calculus for fractional Brownian motions
- Local time and stochastic area integrals
- Renormalized self-intersection local time for fractional Brownian motion
- Self-intersection local time of fractional Brownian motions -- via chaos expansion
- Tanaka formula for the fractional Brownian motion.
- The Malliavin Calculus and Related Topics
- Weighted Local Time for Fractional Brownian Motion and Applications to Finance
Cited in
(24)- Limit theorem for self-intersection local time derivative of multidimensional fractional Brownian motion
- Hölder continuity and occupation-time formulas for fBm self-intersection local time and its derivative
- Quasi-sure \(p\)-variation of fractional Brownian motion
- Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
- Derivative for the intersection local time of two independent fractional Brownian motions
- Equivalent martingale measures and no-arbitrage
- On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion
- Asymptotic properties for \(q\)-th chaotic component of derivative of self-intersection local time of fractional Brownian motion
- Derivative of multiple self-intersection local time for fractional Brownian motion
- Derivatives of sup-functionals of fractional Brownian motion evaluated at \(H=\frac{1}{2}\)
- On \(p\)-variation of bifractional Brownian motion
- Example of a Dirichlet process whose zero energy part has finite \(p\)-th variation
- Smoothness of higher order derivative of self-intersection local time for fractional Brownian motion
- The derivative of the intersection local time of Brownian motion through Wiener chaos
- Higher-order derivative of self-intersection local time for fractional Brownian motion
- Hausdorff-Besicovitch dimension of graphs and \(p\)-variation
- Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
- The generalized quadratic covariation for fractional Brownian motion with Hurst index less than \(1/2\)
- On some additive functionals of fractional Brownian motion as a doubly indexed process
- Derivative for self-intersection local time of multidimensional fractional Brownian motion
- Remarks on an integral functional driven by sub-fractional Brownian motion
- Quasi Surep-Variation of Fractional Brownian Sheet
- An integral functional driven by fractional Brownian motion
- Derivative of intersection local time of independent symmetric stable motions
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