SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
4 references·0 citing·13 second hop
Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters (2005)Regularity of the Local Time for the d-di…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Tanaka formula for the fractional Brownian motion (2001)Tanaka formula for the fracti…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Lectures on Stochastic Differential Equations and Malliavin Calculus (1984)Lectures on Stochastic Differ…Fractional Brownian Motions, Fractional Noises and Applications (1968)The Malliavin Calculus and Related Topics (1995)Skorohod integration and stochastic calculus beyond the fractional Brownian scale (2004)Stochastic calculus with respect to fractional Brownian motion (2009)Itô's formula for a sub-fractional Brownian motion (2011)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Differential equations driven by fractional Brownian motion (2002)Stochastic evolution equations with fractional Brownian motion (2003)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)On bifractional Brownian motion (2005)Stochastic heat equation driven by fractional noise and local time (2008)Functional Itô calculus and stochastic integral representation of martingales (2013)
this work references cited by second hop

References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 1984Lectures on Stochastic Differential Equations and Malliavin Calculus271 cited
  • 2001Tanaka formula for the fractional Brownian motion59 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