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Approximation in law to the $d$-parameter fractional Brownian sheet based on the functional invariance principle
5 references·0 citing·15 second hop
Approximation in law to the $d$-parameter fractional Brownian sheet based on the functional invariance principle (2005)Approximation in law to the $d$-parameter…Weak convergence to the fractional Brownian sheet and other two-parameter Gaussian processes (2003)Weak convergence to the fract…Convergence in law to the multiple fractional integral (2003)Convergence in law to the mul…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Fractional Brownian motion, random walks and binary market models (2001)Fractional Brownian motion, r…Weak approximation for a class of Gaussian processes (2000)Weak approximation for a clas…Fractional Brownian Motions, Fractional Noises and Applications (1968)Stochastic Analysis of the Fractional Brownian Motion (1999)Weak convergence towards two independent Gaussian processes from a unique Poisson process (2010)Approximations of fractional Brownian motion (2011)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Statistics for Long-Memory Processes. (1996)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)Estimation and pricing under long-memory stochastic volatility (2010)A note on the use of fractional Brownian motion for financial modeling (2012)The Malliavin Calculus and Related Topics (1995)Differential equations driven by fractional Brownian motion (2002)Stochastic evolution equations with fractional Brownian motion (2003)The Malliavin Calculus and Related Topics (2006)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)Weak Convergence for the Stochastic Heat Equation Driven by Gaussian White Noise (2010)
this work references cited by second hop

References

  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 2001Fractional Brownian motion, random walks and binary market models188 cited
  • 2000Weak approximation for a class of Gaussian processes47 cited
  • 2003Weak convergence to the fractional Brownian sheet and other two-parameter Gaussian processes33 cited
  • 2003Convergence in law to the multiple fractional integral18 cited

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