Stochastic integration with respect to Gaussian processes.
From MaRDI portal
Recommendations
- Stochastic calculus with respect to Gaussian processes
- Skorohod integration and stochastic calculus beyond the fractional Brownian scale
- A generalized white noise space approach to stochastic integration for a class of Gaussian stationary increment processes
- White noise based stochastic calculus associated with a class of Gaussian processes
- On Stratonovich and Skorohod stochastic calculus for Gaussian processes
Cites work
- scientific article; zbMATH DE number 785439 (Why is no real title available?)
- An introduction to analysis on Wiener space
- Differential equations driven by rough signals
- Estimates of the Sobolev norm of a product of two functions
- Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
- Identification d’un processus gaussien multifractionnaire avec des ruptures sur la fonction d’échelle
- Integration with respect to fractal functions and stochastic calculus. I
- On fractional Brownian processes
- On the relation between the Stratonovich and Ogawa integrals
- Regularity properties of some stochastic Volterra integrals with singular kernel
- Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\)
- Stochastic analysis of the fractional Brownian motion
- Stochastic calculus with respect to Gaussian processes
- The Itô formula for anticipative processes with nonmonotonous time scale via the Malliavin calculus
- Transformation of measure on Wiener space
Cited in
(21)- Itô's formula for Gaussian processes with stochastic discontinuities
- Time reversal of Volterra processes driven stochastic differential equations
- A Kolmogorov and Tightness Criterion in Modular Besov Spaces and an Application to a Class of Gaussian Processes
- Stochastic calculus with respect to Gaussian processes
- From an Itô type calculus for Gaussian processes to integrals of log-normal processes increasing in the convex order
- Integral representations of increments of stochastic processes
- Integration-by-parts characterizations of Gaussian processes
- A Stratonovich-Skorohod integral formula for Gaussian rough paths
- Pathwise integrals and Itô-Tanaka formula for Gaussian processes
- On Stratonovich and Skorohod stochastic calculus for Gaussian processes
- Skorohod and Stratonovich integration in the plane
- Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes
- On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis
- Stochastic calculus with respect to Gaussian processes
- A generalized white noise space approach to stochastic integration for a class of Gaussian stationary increment processes
- Variational solutions for partial differential equations driven by a fractional noise
- Skorohod and Stratonovich integrals for controlled processes
- scientific article; zbMATH DE number 3874348 (Why is no real title available?)
- On stochastic integration for volatility modulated Lévy-driven Volterra processes
- Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes
- A simple proof of distance bounds for Gaussian rough paths
This page was built for publication: Stochastic integration with respect to Gaussian processes.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1608703)
