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On bifractional Brownian motion · Study

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ArticleOn bifractional Brownian motion

Francesco Russo2005

OA

Articlebronze2005

On bifractional Brownian motion

Francesco Russo · Ciprian A. Tudor

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

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Stochastic processes and financial applications Fractional Differential Equations Solutions Complex Systems and Time Series Analysis

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 143 citations exist upstream.

References

1999Continuous Martingales and Brownian Motion 2006The Malliavin Calculus and Related Topics 1995The Malliavin Calculus and Related Topics 1998Differential equations driven by rough signals 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

Cited by

2006Some properties of the sub-fractional Brownian motion 2008A decomposition of the bifractional Brownian motion and some applications 2007Sample path properties of bifractional Brownian motion 2007Wiener integrals, Malliavin calculus and covariance measure structure 2009Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: The critical case H=1/4 2016The Jain–Monrad criterion for rough paths and applications to random Fourier series and non-Markovian Hörmander theory 2011An extension of bifractional Brownian motion 2015Bounds for expected maxima of Gaussian processes and their discrete approximations

Details

Year2005

Typearticle

Published2005-12-28

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations143

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1016/j.spa.2005.11.013

openalex_workW2056464302

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