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Tanaka formula for the fractional Brownian motion · Study

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ArticleTanaka formula for the fractional Brownian motion

Laure Coutin2001

OA

Articlebronze2001

Tanaka formula for the fractional Brownian motion

Laure Coutin · David Nualart · Ciprian A. Tudor

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

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Fractional Differential Equations Solutions

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 2006The Malliavin Calculus and Related Topics 1995The Malliavin Calculus and Related Topics 1999Stochastic Analysis of the Fractional Brownian Motion 1998Integration with respect to fractal functions and stochastic calculus. I 2000Stochastic Calculus for Fractional Brownian Motion I. Theory 2001Stochastic Calculus with Respect to Gaussian Processes 2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE

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2004Skorohod integration and stochastic calculus beyond the fractional Brownian scale 2009Stochastic calculus with respect to fractional Brownian motion 2011Itô's formula for a sub-fractional Brownian motion 2003Itô Formula and Local Time for the Fractional Brownian Sheet 2018Pathwise stochastic calculus with local times 2007MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS

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2001STOCHASTIC STRATONOVICH CALCULUS fBm FOR FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER LESS THAN 1/2article · 12 shared references 2004The 1/H -variation of the divergence integral with respect to the fractional Brownian motion for H>1/2 and fractional Bessel processesarticle · 12 shared references 2003Stochastic integration with respect to the fractional Brownian motionarticle · 10 shared references 2005Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12)article · 10 shared references 2003An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameterarticle · 10 shared references 2007Fractional Brownian motion: stochastic calculus and applicationschapter · 10 shared references

Details

Year2001

Typearticle

Published2001-08-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations59

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0304-4149(01)00085-0

openalex_workW2013983475

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2010Local time and Tanaka formula for a Volterra-type multifractional Gaussian process

2005Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters