SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Transformation formulas for fractional Brownian motion
6 references·4 citing·36 second hop
Transformation formulas for fractional Brownian motion (2006)Transformation formulas for fractional Br…Theory and applications of long-range dependence (2003)Theory and applications of lo…Are Classes of Deterministic Integrands for Fractional Brownian Motion on an Interval Complete? (2001)Are Classes of Deterministic …Integration questions related to fractional Brownian motion (2000)Integration questions related…Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Analysis of the Fr…An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)An Elementary Approach to a G…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Bounds for expected maxima of Gaussian processes and their discrete approximations (2015)Bounds for expected maxima of…Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process (2011)Sharp Large Deviations for th…Representation Formulae for the Fractional Brownian Motion (2010)Representation Formulae for t…Asymptotic properties of MLE for partially observed fractional diffusion system (2009)Asymptotic properties of MLE …Theory of Martingales (1989)Quadratic variations and estimation of the local Hölder index of a Gaussian process (1997)Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process (2013)Maximum likelihood estimation for the non-ergodic fractional Ornstein–Uhlenbeck process (2014)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12) (2005)A decomposition of the bifractional Brownian motion and some applications (2008)On the Wiener integral with respect to a sub-fractional Brownian motion on an interval (2008)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with respect to the fractional Brownian motion (2003)Analysis of the Rosenblatt process (2008)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Continuous Martingales and Brownian Motion (1999)Limit Theorems for Stochastic Processes (2003)Long Range Dependence (2004)Statistical Analysis of the Fractional Ornstein–Uhlenbeck Type Process (2002)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Parameter estimation based on discrete observations of fractional Ornstein–Uhlenbeck process of the second kind (2014)Moderate Deviations for Parameter Estimation in the Fractional Ornstein-Uhlenbeck Processes with Periodic Mean (2023)Corrected diffusion approximations in certain random walk problems (1979)Tests for Hurst Effect (1987)Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications (2019)Fractional Ornstein-Uhlenbeck processes (2003)Distribution dependent SDEs driven by additive fractional Brownian motion (2022)Deep Curve-Dependent PDEs for Affine Rough Volatility (2023)Functional central limit theorems for rough volatility (2024)Stochastic Calculus with Respect to Gaussian Processes (2001)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Bootstrap for Empirical Multifractal Analysis (2007)Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation. (2010)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2003Theory and applications of long-range dependence989 cited
  • 1999Stochastic Analysis of the Fractional Brownian Motion744 cited
  • 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions401 cited
  • 2000Integration questions related to fractional Brownian motion357 cited
  • 2001Are Classes of Deterministic Integrands for Fractional Brownian Motion on an Interval Complete?134 cited

Cited by

  • 2009Asymptotic properties of MLE for partially observed fractional diffusion system55 cited
  • 2011Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process52 cited
  • 2010Representation Formulae for the Fractional Brownian Motion50 cited
  • 2015Bounds for expected maxima of Gaussian processes and their discrete approximations36 cited

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