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Approximation at First and Second Order of $m$-order Integrals of the Fractional Brownian Motion and of Certain Semimartingales
16 references·5 citing·26 second hop
Approximation at First and Second Order of $m$-order Integrals of the Fractional Brownian Motion and of Certain Semimartingales (2003)Approximation at First and Second Order o…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Central limit theorems for sequences of multiple stochastic integrals (2005)Central limit theorems for se…m-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index (2004)m-order integrals and general…Stochastic integration with respect to the fractional Brownian motion (2003)Stochastic integration with r…Stochastic integration with respect to fractional Brownian motion and applications (2003)Stochastic integration with r…Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 12 (2000)Stochastic calculus with resp…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Integration with respect to fractal functions and stochastic calculus. I (1998)Integration with respect to f…Quadratic variations and estimation of the local Hölder index of a Gaussian process (1997)Quadratic variations and esti…Arbitrage with Fractional Brownian Motion (1997)Arbitrage with Fractional Bro…Ito formula forC 1-functions of semimartingales (1996)Ito formula forC 1-functions …The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Convergence en loi des suites d'intégrales stochastiques sur l'espace $$\mathbb{D}$$ 1 de Skorokhod (1989)Convergence en loi des suites…Calcul d'ito sans probabilites (1981)Calcul d'ito sans probabilitesConvergence of integrated processes of arbitrary Hermite rank (1979)Convergence of integrated pro…Multiple Wiener Integral (1951)Multiple Wiener IntegralFunctional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations (2016)Functional Itô versus Banach …Itô's formula for a sub-fractional Brownian motion (2011)Itô's formula for a sub-fract…On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model (2009)On the regularity of stochast…Milstein’s type schemes for fractional SDEs (2009)Milstein’s type schemes for f…Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator (2006)Backward stochastic different…Un Cours sur les Intégrales Stochastiques (2002)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Functional Itô calculus and stochastic integral representation of martingales (2013)Stochastic Differential Equations and Diffusion Processes (1983)The Distribution of Exchange Rate Volatility (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Fractional Brownian Motions, Fractional Noises and Applications (1968)Bootstrap for Empirical Multifractal Analysis (2007)Estimators of fractal dimension: Assessing the roughness of time series and spatial data (2010)Estimators of Fractal Dimension: Assessing the Roughness of Time Series and Spatial Data (2012)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Alternative forms of fractional Brownian motion (1999)Stein’s method on Wiener chaos (2008)Modelling Nonlinear Economic Time Series (2010)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Integration questions related to fractional Brownian motion (2000)Differential equations driven by fractional Brownian motion (2002)Gaussian Limits for Vector-valued Multiple Stochastic Integrals (2004)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)
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  • 2006The Malliavin Calculus and Related Topics2,470 cited
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101 cited
  • 1996Ito formula forC 1-functions of semimartingales84 cited
  • Cited by

    • 2011Itô's formula for a sub-fractional Brownian motion44 cited
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    • 2016Functional Itô versus Banach space stochastic calculus and strict solutions of semilinear path-dependent equations32 cited
    • 2006Backward stochastic differential equations with two distinct reflecting barriers and quadratic growth generator26 cited
    • 2009On the regularity of stochastic currents, fractional Brownian motion and applications to a turbulence model21 cited