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Stochastic differential equations driven by fractional Brownian motions
16 references·0 citing·29 second hopsampled
Stochastic differential equations driven by fractional Brownian motions (2009)Stochastic differential equations driven …Some linear fractional stochastic equations (2006)Some linear fractional stocha…Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2 (2006)Linear Stochastic Differentia…Weak solutions for stochastic differential equations with additive fractional noise (2004)Weak solutions for stochastic…An extension of the divergence operator for Gaussian processes (2004)An extension of the divergenc…Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with r…Stochastic evolution equations with fractional Brownian motion (2003)Stochastic evolution equation…Stochastic Differential Equations with Additive Fractional Noise and Locally Unbounded Drift (2003)Stochastic Differential Equat…Differential equations driven by fractional Brownian motion (2002)Differential equations driven…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…Stieltjes Integrals of Hölder Continuous Functions with Applications to Fractional Brownian Motion (2000)Stieltjes Integrals of Hölder…Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Analysis of the Fr…Itô′s formula with respect to fractional Brownian motion and its application (1996)Itô′s formula with respect to…Stochastic analysis of fractional brownian motions (1995)Stochastic analysis of fracti…Linear skorohod stochastic differential equations (1991)Linear skorohod stochastic di…Anticipative Girsanov transformations (1991)Anticipative Girsanov transfo…Fractional Brownian Motions, Fractional Noises and Applications (1968)Differential equations driven by rough signals (1998)Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion (2008)Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion (2008)Fractional stochastic differential equations with applications to finance (2012)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)Integration questions related to fractional Brownian motion (2000)Stochastic Integration and Differential Equations (2005)Calcul d'ito sans probabilites (1981)Dirichlet Forms and Analysis on Wiener Space (1991)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)Brownian Motion and Stochastic Calculus (2007)Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic calculus with anticipating integrands (1988)Transformation of Wiener measure under anticipative flows (1992)Linear stochastic differential equations and Wick products (1994)When Can Price be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models (1971)Long-term dependence in common stock returns (1977)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Integration with respect to fractal functions and stochastic calculus. I (1998)Controlled differential equations as Young integrals: A simple approach (2010)Mixed fractional stochastic differential equations with jumps (2013)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)
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References

  • 1999Stochastic Analysis of the Fractional Brownian Motion744 cited
  • 2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 2002Differential equations driven by fractional Brownian motion408 cited
  • 2003Stochastic evolution equations with fractional Brownian motion230 cited
  • 2003Stochastic integration with respect to fractional brownian motion230 cited
  • 1995Stochastic analysis of fractional brownian motions207 cited
  • 1996Itô′s formula with respect to fractional Brownian motion and its application146 cited
  • 2000Stieltjes Integrals of Hölder Continuous Functions with Applications to Fractional Brownian Motion59 cited
  • 1991Anticipative Girsanov transformations44 cited
  • 1991Linear skorohod stochastic differential equations42 cited
  • 2003Stochastic Differential Equations with Additive Fractional Noise and Locally Unbounded Drift33 cited
  • 2004Weak solutions for stochastic differential equations with additive fractional noise22 cited
  • 2004An extension of the divergence operator for Gaussian processes19 cited
  • 2006Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2

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17 cited
  • 2006Some linear fractional stochastic equations17 cited
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