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Feynman–Kac formula for the heat equation driven by fractional noise with Hurst parameter H < 1/2
5 references·0 citing·22 second hop
Feynman–Kac formula for the heat equation driven by fractional noise with Hurst parameter H < 1/2 (2012)Feynman–Kac formula for the heat equation…Feynman–Kac formula for heat equation driven by fractional white noise (2010)Feynman–Kac formula for heat …Stochastic heat equation driven by fractional noise and local time (2008)Stochastic heat equation driv…Skorohod integration and stochastic calculus beyond the fractional Brownian scale (2004)Skorohod integration and stoc…Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance (2001)Backward Stochastic Different…Integration with respect to fractal functions and stochastic calculus. I (1998)Integration with respect to f…Multiple Wiener Integral (1951)Fractional Brownian Motions, Fractional Noises and Applications (1968)Differential equations driven by fractional Brownian motion (2002)The Pricing of Options and Corporate Liabilities (1973)Adapted solution of a backward stochastic differential equation (1990)The Fine Structure of Asset Returns: An Empirical Investigation (2002)White noise analysis for Lévy processes (2003)Fast deterministic pricing of options on Lévy driven assets (2004)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)Integration questions related to fractional Brownian motion (2000)System Control and Rough Paths (2002)An introduction to stochastic partial differential equations (2006)Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions (2016)Stochastic heat equation with rough dependence in space (2017)THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)Stochastic Calculus with Respect to Gaussian Processes (2001)The Malliavin Calculus and Related Topics (2006)A martingale approach for fractional Brownian motions and related path dependent PDEs (2019)C∞− regularization of ODEs perturbed by noise (2021)Stochastic Flows and Stochastic Differential Equations (1998)The Stochastic Wave Equation with Multiplicative Fractional Noise: A Malliavin Calculus Approach (2011)Intermittency for the wave and heat equations with fractional noise in time (2016)
this work references cited by second hop

References

  • 1998Integration with respect to fractal functions and stochastic calculus. I589 cited
  • 2001Backward Stochastic Differential Equations and Feynman-Kac Formula for Levy Processes, with Applications in Finance169 cited
  • 2008Stochastic heat equation driven by fractional noise and local time154 cited
  • 2010Feynman–Kac formula for heat equation driven by fractional white noise104 cited
  • 2004Skorohod integration and stochastic calculus beyond the fractional Brownian scale50 cited

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