Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS

9 references·2 citing·38 second hop

FromToDepth

this work references cited by second hop

References

1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions401 cited
2000Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 12150 cited
2001Self-intersection local time of fractional Brownian motions-via chaos expansion49 cited
1997Itô-Wiener Chaos Expansion with Exact Residual and Correlation, Variance Inequalities49 cited
2001Multiparameter Fractional Brownian Motion And Quasi-Linear Stochastic Partial Differential Equations39 cited
2001Using the Donsker Delta Function to Compute Hedging Strategies38 cited
1991WICK MULTIPLICATION AND ITO-SKOROHOD STOCHASTIC DIFFERENTIAL EQUATIONS34 cited

Cited by

2005Some Processes Associated with Fractional Bessel Processes25 cited
2005Weighted Local Time for Fractional Brownian Motion and Applications to Finance25 cited

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