SZodixStudyAcademic Library

Shelves Open access

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

Transformation formulas for fractional Brownian motion · Study

ArticleShelves

ArticleTransformation formulas for fractional Brownian motion

Céline Jost2006

OA

Articlebronze2006

Transformation formulas for fractional Brownian motion

82 citations·0/0 files stored·Stochastic Processes and their Applications

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Fractional Differential Equations Solutions Complex Systems and Time Series Analysis

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 82 citations exist upstream.

References

1968Fractional Brownian Motions, Fractional Noises and Applications 2003Theory and applications of long-range dependence 1999Stochastic Analysis of the Fractional Brownian Motion 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions 2000Integration questions related to fractional Brownian motion 2001Are Classes of Deterministic Integrands for Fractional Brownian Motion on an Interval Complete?

Cited by

2009Asymptotic properties of MLE for partially observed fractional diffusion system 2011Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process 2010Representation Formulae for the Fractional Brownian Motion 2015Bounds for expected maxima of Gaussian processes and their discrete approximations

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2007An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motionchapter · 5 shared references 2003Stochastic integration with respect to the fractional Brownian motionarticle · 4 shared references 2006NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYONDarticle · 4 shared references 2006Fractional Lévy processes with an application to long memory moving average processesarticle · 4 shared references 2008On the Wiener integral with respect to a sub-fractional Brownian motion on an intervalarticle · 4 shared references 2007Fractional Brownian motion: stochastic calculus and applicationschapter · 4 shared references

Details

Year2006

Typearticle

Published2006-03-21

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations82

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.spa.2006.02.006

openalex_workW1978989007

Links

Imported from OpenAlex (CC0) — nothing here is generated.