SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
On the local time of sub-fractional Brownian motion
3 references·1 citing·19 second hop
On the local time of sub-fractional Brownian motion (2010)On the local time of sub-fractional Brown…Inner product spaces of integrands associated to subfractional Brownian motion (2008)Inner product spaces of integ…A decomposition of the bifractional Brownian motion and some applications (2008)A decomposition of the bifrac…On the local time of multifractional Brownian motion (2006)On the local time of multifra…Least squares estimation for the drift parameters in the sub-fractional Vasicek processes (2018)Least squares estimation for …Fractional Brownian Motions, Fractional Noises and Applications (1968)Integration questions related to fractional Brownian motion (2000)Some properties of the sub-fractional Brownian motion (2006)Berry–Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion (2010)Weak convergence towards two independent Gaussian processes from a unique Poisson process (2010)Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion (2011)Arbitrage with Fractional Brownian Motion (1997)Stochastic Analysis of the Fractional Brownian Motion (1999)The Malliavin Calculus and Related Topics (2006)Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: The critical case H=1/4 (2009)An extension of bifractional Brownian motion (2011)Bounds for expected maxima of Gaussian processes and their discrete approximations (2015)The covariance structure of multifractional Brownian motion, with application to long range dependence (2002)Stochastic Calculus with respect to Gaussian processes (2014)Some sample path properties of multifractional Brownian motion (2015)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Modeling and Forecasting Realized Volatility (2003)Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model (2020)
this work references cited by second hop

References

  • 2008A decomposition of the bifractional Brownian motion and some applications119 cited
  • 2008Inner product spaces of integrands associated to subfractional Brownian motion43 cited
  • 2006On the local time of multifractional Brownian motion33 cited

Cited by

  • 2018Least squares estimation for the drift parameters in the sub-fractional Vasicek processes20 cited

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