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General Fractional Multiparameter White Noise Theory and Stochastic Partial Differential Equations
11 references·3 citing·36 second hop
General Fractional Multiparameter White Noise Theory and Stochastic Partial Differential Equations (2004)General Fractional Multiparameter White N…Stochastic partial differential equations (2020)Stochastic partial differenti…FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)FRACTIONAL WHITE NOISE CALCUL…A General Fractional White Noise Theory And Applications To Finance (2003)A General Fractional White No…Multiparameter Fractional Brownian Motion And Quasi-Linear Stochastic Partial Differential Equations (2001)Multiparameter Fractional Bro…Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion (2001)Inequalities for the moments …Heat Equations with Fractional White Noise Potentials (2001)Heat Equations with Fractiona…Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic Calculus for Fract…Integration questions related to fractional Brownian motion (2000)Integration questions related…ESSENTIALS OF STOCHASTIC FINANCE (2000)ESSENTIALS OF STOCHASTIC FINA…Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach. (1997)Stochastic Partial Differenti…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Some Recent Progress on Stochastic Heat Equations (2019)Some Recent Progress on Stoch…Stochastic evolution equations driven by Liouville fractional Brownian motion (2012)Stochastic evolution equation…Linear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion (2006)Linear Stochastic Equations i…Stochastic integrals in the plane (1975)A stochastic maximum principle for processes driven by fractional Brownian motion (2002)Stochastic equations in Hilbert space with a multiplicative fractional Gaussian noise (2005)The stochastic wave equation with fractional noise: A random field approach (2010)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with respect to the fractional Brownian motion (2003)Analysis of the Rosenblatt process (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)Stochastic heat equation driven by fractional noise and local time (2008)Backward Stochastic Differential Equation Driven by Fractional Brownian Motion (2009)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)Multiple Wiener Integral (1951)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)On arbitrage‐free pricing of weather derivatives based on fractional Brownian motion (2003)An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion (2004)A note on the use of fractional Brownian motion for financial modeling (2012)Fractals and Scaling in Finance (1997)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)The Random Character of Stock Market Prices (1968)The variation of certain speculative prices (1997)Stochastic Calculus with Respect to Gaussian Processes (2001)White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (2000)An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter (2003)White noise analysis for Lévy processes (2003)Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Dynamical pricing of weather derivatives (2002)The cumulant process and Esscher's change of measure (2002)Stochastic calculus with respect to continuous finite quadratic variation processes (2000)Parameter identification in a probabilistic setting (2013)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2000Stochastic Calculus for Fractional Brownian Motion I. Theory571 cited
  • 2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE476 cited
  • 2000Integration questions related to fractional Brownian motion357 cited
  • 1997Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach.353 cited
  • 2003A General Fractional White Noise Theory And Applications To Finance301 cited
  • 2000ESSENTIALS OF STOCHASTIC FINANCE301 cited
  • 2020Stochastic partial differential equations216 cited
  • 2001Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion183 cited
  • 2001Heat Equations with Fractional White Noise Potentials101 cited
  • 2001Multiparameter Fractional Brownian Motion And Quasi-Linear Stochastic Partial Differential Equations39 cited

Cited by

  • 2019Some Recent Progress on Stochastic Heat Equations25 cited
  • 2012Stochastic evolution equations driven by Liouville fractional Brownian motion22 cited
  • 2006Linear Stochastic Equations in a Hilbert Space with a Fractional Brownian Motion19 cited

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