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Stochastic modeling of unresolved scales in complex systems
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Stochastic modeling of unresolved scales in complex systems (2009)Stochastic modeling of unresolved scales …Stochastic integration with respect to fractional Brownian motion and applications (2003)Stochastic integration with r…Stochastic evolution equations with fractional Brownian motion (2003)Stochastic evolution equation…Simulating a class of stationary Gaussian processes using the Davies–Harte algorithm, with application to long memory processes (2003)Simulating a class of station…Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion (2001)Inequalities for the moments …Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…Characterization of long-range correlations in complex distributions and profiles (1997)Characterization of long-rang…Stochastic Differential Equations: Theory and Applications. (1976)Stochastic Differential Equat…Fractional Brownian Motions, Fractional Noises and Applications (1968)The Malliavin Calculus and Related Topics (1995)Rough evolution equations (2006)The Malliavin Calculus and Related Topics (2006)Analysis of the Rosenblatt process (2008)Stochastic heat equation driven by fractional noise and local time (2008)Arbitrage with Fractional Brownian Motion (1997)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter H (2006)Backward Stochastic Differential Equation Driven by Fractional Brownian Motion (2009)Long-Term Storage: An Experimental Study. (1966)Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances (1969)Wavelet estimation of a local long memory parameter (2000)Markov analysis and Kramers-Moyal expansion of nonstationary stochastic processes with application to the fluctuations in the oil price (2007)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Geostatistics: Modeling Spatial Uncertainty (2000)Trend assessment in a long memory dependence model using the discrete wavelet transform (2004)Fast and Exact Simulation of Large Gaussian Lattice Systems in ℝ2: Exploring the Limits (2006)Subsampling techniques and the Jackknife methodology in the estimation of the extremal index (2007)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Integration questions related to fractional Brownian motion (2000)Stochastic Calculus with Respect to Gaussian Processes (2001)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)ARCH models as diffusion approximations (1990)A decomposition of the bifractional Brownian motion and some applications (2008)Delay equations driven by rough paths (2008)Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion (2008)
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References

  • 1976Stochastic Differential Equations: Theory and Applications.2,393 cited
  • 2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
  • 2003Stochastic evolution equations with fractional Brownian motion230 cited
  • 2001Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion183 cited
  • 2003Stochastic integration with respect to fractional Brownian motion and applications121 cited
  • 1997Characterization of long-range correlations in complex distributions and profiles94 cited
  • 2003Simulating a class of stationary Gaussian processes using the Davies–Harte algorithm, with application to long memory processes82 cited

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