SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Mixed Gaussian processes: A filtering approach
9 references·0 citing·37 second hop
Mixed Gaussian processes: A filtering approach (2016)Mixed Gaussian processes: A filtering app…Equivalence of Volterra processes (2003)Equivalence of Volterra proce…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…Statistics of Random Processes (2001)Statistics of Random ProcessesMixed Fractional Brownian Motion (2001)Mixed Fractional Brownian Mot…Are Classes of Deterministic Integrands for Fractional Brownian Motion on an Interval Complete? (2001)Are Classes of Deterministic …An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)An Elementary Approach to a G…Alternative forms of fractional Brownian motion (1999)Alternative forms of fraction…Theory of Martingales (1989)Theory of MartingalesRepresentation of Gaussian processes equivalent to Wiener process (1968)Representation of Gaussian pr…Integration questions related to fractional Brownian motion (2000)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12) (2005)Transformation formulas for fractional Brownian motion (2006)A decomposition of the bifractional Brownian motion and some applications (2008)Martingales and stochastic integrals in the theory of continuous trading (1981)Continuous Martingales and Brownian Motion (1999)A note on Wick products and the fractional Black-Scholes model (2005)Stochastic Integration and Differential Equations (2005)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)Fractional Brownian Motions, Fractional Noises and Applications (1968)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Multiple Time Series Regression with Integrated Processes (1986)Semiparametric fractional cointegration analysis (2001)Nonstationarity-extended local Whittle estimation (2007)EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009)The Pricing of Options and Corporate Liabilities (1973)On bifractional Brownian motion (2005)Some properties of the sub-fractional Brownian motion (2006)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Representation Formulae for the Fractional Brownian Motion (2010)When a Stochastic Exponential Is a True Martingale. Extension of the Beneš Method (2014)On probability laws of solutions to differential systems driven by a fractional Brownian motion (2016)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Limit Theorems for Stochastic Processes (2003)Stochastic integration with respect to fractional brownian motion (2003)Long Range Dependence (2004)On a Formula Concerning Stochastic Differentials (1951)On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures (1960)On Square Integrable Martingales (1967)Regularizing fractional Brownian motion with a view towards stock price modelling (2001)Gaussian moving averages, semimartingales and option pricing (2003)Robust control and model misspecification (2006)Asset Prices and Exchange Rates (2007)An Institutional Theory of Momentum and Reversal (2013)
this work references cited by second hop

References

  • 1989Theory of Martingales956 cited
  • 2001Statistics of Random Processes514 cited
  • 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions401 cited
  • 2001Mixed Fractional Brownian Motion387 cited
  • 2003Arbitrage in fractional Brownian motion models332 cited
  • 1999Alternative forms of fractional Brownian motion289 cited
  • 2001Are Classes of Deterministic Integrands for Fractional Brownian Motion on an Interval Complete?134 cited
  • 1968Representation of Gaussian processes equivalent to Wiener process97 cited
  • 2003Equivalence of Volterra processes65 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work