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Chaos decomposition of multiple fractional integrals and applications
4 references·2 citing·15 second hop
Chaos decomposition of multiple fractional integrals and applications (1999)Chaos decomposition of multiple fractiona…Multiple fractional integrals (1999)Multiple fractional integralsHomogeneous chaos, 𝑝-forms, scaling and the Feynman integral (1993)Homogeneous chaos, 𝑝-forms, …Stochastic and Multiple Wiener Integrals for Gaussian Processes (1978)Stochastic and Multiple Wiene…Multiple Wiener Integral (1951)Multiple Wiener IntegralStochastic Analysis of Gaussian Processes via Fredholm Representation (2016)Stochastic Analysis of Gaussi…Multiple fractional integral with Hurst parameter less than 1 2 (2005)Multiple fractional integral …On a Generalization of a Stochastic Integral (1976)Notes on the Feynman integral. I (1981)Tail and Quantile Estimation for Strongly Mixing Stationary Sequences (1990)Wick calculus for nonlinear Gaussian functionals (2009)Arbitrage with Fractional Brownian Motion (1997)Stochastic calculus for fractional Brownian motion. I. Theory (2002)Estimating drift parameters in a fractional Ornstein Uhlenbeck process with periodic mean (2016)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Convergence of integrated processes of arbitrary Hermite rank (1979)Integration with respect to fractal functions and stochastic calculus. I (1998)On tail probabilities and first passage times for fractional Brownian motion (1999)Stochastic integration for tempered fractional Brownian motion (2014)
this work references cited by second hop

References

  • 1951Multiple Wiener Integral699 cited
  • 1978Stochastic and Multiple Wiener Integrals for Gaussian Processes81 cited
  • 1999Multiple fractional integrals39 cited
  • 1993Homogeneous chaos, 𝑝-forms, scaling and the Feynman integral38 cited

Cited by

  • 2005Multiple fractional integral with Hurst parameter less than 1 223 cited
  • 2016Stochastic Analysis of Gaussian Processes via Fredholm Representation22 cited

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