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Fractional Brownian Motion and the Markov Property
1 references·6 citing·26 second hop
Fractional Brownian Motion and the Markov Property (1998)Fractional Brownian Motion and the Markov…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation (2021)Linear-quadratic control for …Markovian structure of the Volterra Heston model (2018)Markovian structure of the Vo…Affine representations of fractional processes with applications in mathematical finance (2018)Affine representations of fra…Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes (2005)Spectral Properties of Uperpo…Generators of long-range dependent processes: A survey (2003)Generators of long-range depe…Fractional differential equations driven by Lévy noise (2003)Fractional differential equat…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Volatility Is Rough (2018)Portfolio Optimization in Fractional and Rough Heston Models (2020)Processes of normal inverse Gaussian type (1997)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Theory and applications of long-range dependence (2003)Multifractality of products of geometric Ornstein-Uhlenbeck-type processes (2008)Simulation of Lévy-driven Ornstein–Uhlenbeck processes with given marginal distribution (2008)Hyperbolic Distributions in Finance (1995)Long memory processes and fractional integration in econometrics (1996)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)Statistics for Long-Memory Processes. (1996)Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes (2008)When long memory meets the Kalman filter: A comparative study (2012)Affine processes and applications in finance (2003)Affine forward variance models (2019)The characteristic function of rough Heston models (2019)Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case (2020)Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (2022)Stochastic Controls (1999)The stochastic Fubini theorem revisited (2011)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited

Cited by

  • 2003Generators of long-range dependent processes: A survey92 cited
  • 2005Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes75 cited
  • 2003Fractional differential equations driven by Lévy noise70 cited
  • 2018Markovian structure of the Volterra Heston model64 cited
  • 2018Affine representations of fractional processes with applications in mathematical finance45 cited
  • 2021Linear-quadratic control for a class of stochastic Volterra equations: Solvability and approximation35 cited

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