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Laplace approximation for rough differential equation driven by fractional Brownian motion
16 references·0 citing·29 second hop
Laplace approximation for rough differential equation driven by fractional Brownian motion (2013)Laplace approximation for rough different…Multidimensional Stochastic Processes as Rough Paths (2010)Multidimensional Stochastic P…Differential equations driven by Gaussian signals (2010)Differential equations driven…Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Stochastic Calculus for Fract…Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fract…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Differential Equations Driven by Rough Paths (2007)Differential Equations Driven…Operators associated with a stochastic differential equation driven by fractional Brownian motions (2006)Operators associated with a s…An Introduction to Rough Paths (2003)An Introduction to Rough PathsSystem Control and Rough Paths (2002)System Control and Rough PathsStochastic analysis, rough path analysis and fractional Brownian motions (2002)Stochastic analysis, rough pa…Large deviations and support theorem for diffusion processes via rough paths (2002)Large deviations and support …Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Analysis of the Fr…Differential equations driven by rough signals (1998)Differential equations driven…THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)THE MALLIAVIN CALCULUS AND RE…Methods de laplace et de la phase stationnaire sur l'espace de wiener (1988)Methods de laplace et de la p…Formule de Taylor stochastique et developpement asymptotique d’integrales de Feynmann (1982)Formule de Taylor stochastiqu…Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1999)Stochastic integration with respect to fractional brownian motion (2003)Brownian Motion and Stochastic Calculus (2007)Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion (2008)Fractional Brownian Motions, Fractional Noises and Applications (1968)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus with Respect to Gaussian Processes (2001)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)Integration with respect to fractal functions and stochastic calculus. I (1998)Smoothness of the density for solutions to Gaussian rough differential equations (2014)The signature of a rough path: Uniqueness (2016)Analysis of the Rosenblatt process (2008)Differential Equations Driven by Rough Paths: An Approach via Discrete Approximation (2008)Stochastic heat equation driven by fractional noise and local time (2008)Differential equations driven by fractional Brownian motion (2002)Controlling rough paths (2004)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)A note on the use of fractional Brownian motion for financial modeling (2012)The Master Equation for Large Population Equilibriums (2014)UNIQUENESS FOR THE SIGNATURE OF A PATH OF BOUNDED VARIATION AND THE REDUCED PATH GROUP (2006)Uniqueness for the signature of a path of bounded variation and the reduced path group (2010)A Wong-Zakai theorem for stochastic PDEs (2015)Fractional stochastic differential equations with applications to finance (2012)Hybrid scheme for Brownian semistationary processes (2017)Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2019)Densities for rough differential equations under Hörmander’s condition (2010)Averaging along irregular curves and regularisation of ODEs (2016)
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References

  • 1998Differential equations driven by rough signals1,077 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,065 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes922 cited
  • 2010Multidimensional Stochastic Processes as Rough Paths750 cited
  • 1999Stochastic Analysis of the Fractional Brownian Motion744 cited
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2006
Operators associated with a stochastic differential equation driven by fractional Brownian motions
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