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Quadratic functionals and small ball probabilities for the $m$-fold integrated Brownian motion
3 references·0 citing·11 second hop
Quadratic functionals and small ball probabilities for the $m$-fold integrated Brownian motion (2003)Quadratic functionals and small ball prob…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Existence of small ball constants for fractional Brownian motions (1998)Existence of small ball const…Fubini's theorem for double Wiener integrals and the variance of the brownian path (1991)Fubini's theorem for double W…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)Small Ball Probabilities of Fractional Brownian Sheets via Fractional Integration Operators (2002)A Gaussian correlation inequality and its applications to the existence of small ball constant (2003)Small Ball Constants and Tight Eigenvalue Asymptotics for Fractional Brownian Motions (2003)A Karhunen–Loève expansion for a mean-centered Brownian bridge (2007)
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References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1998Existence of small ball constants for fractional Brownian motions59 cited
  • 1991Fubini's theorem for double Wiener integrals and the variance of the brownian path50 cited

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