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Derivative for self-intersection local time of multidimensional fractional Brownian motion
14 references·0 citing·33 second hop
Derivative for self-intersection local time of multidimensional fractional Brownian motion (2015)Derivative for self-intersection local ti…On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion (2014)On the Tanaka formula for the…Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Stochastic Calculus for Fract…Integration with Respect to Fractional Local Time with Hurst Index 1/2 < H < 1 (2008)Integration with Respect to F…A Change-of-Variable Formula with Local Time on Surfaces (2007)A Change-of-Variable Formula …Two-parameter p, q-variation Paths and Integrations of Local Times (2006)Two-parameter p, q-variation …Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12) (2005)Stochastic integral of diverg…Local time–space stochastic calculus for Lévy processes (2005)Local time–space stochastic c…Integral transformations and anticipative calculus for fractional Brownian motions (2005)Integral transformations and …A Change-of-Variable Formula with Local Time on Curves (2005)A Change-of-Variable Formula …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…Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index ${H \ge \frac{1}{4}}$ (2003)Generalized covariations, loc…Self-intersection local time of fractional Brownian motions-via chaos expansion (2001)Self-intersection local time …Integration with respect to local time (2000)Integration with respect to l…Local Time and Stochastic Area Integrals (1991)Local Time and Stochastic Are…Continuous Martingales and Brownian Motion (1991)Stochastic Flows and Stochastic Differential Equations (1998)Continuous Martingales and Brownian Motion (1999)Construction of strong solutions of SDE's via Malliavin calculus (2009)A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s (2013)Sobolev differentiable stochastic flows for SDEs with singular coefficients: Applications to the transport equation (2015)Stochastic Differential Equations and Diffusion Processes (1983)The Malliavin Calculus and Related Topics (1995)Differential equations driven by rough signals (1998)The Malliavin Calculus and Related Topics (2006)An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion (2007)Exact Rate of Convergence of Some Approximation Schemes Associated to SDEs Driven by a Fractional Brownian Motion (2007)Geometric versus non-geometric rough paths (2015)Stochastic Analysis (1997)Central and non-central limit theorems for weighted power variations of fractional Brownian motion (2010)Fractional stochastic differential equations with applications to finance (2012)Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017)Stochastic Integration and Differential Equations (1990)Stochastic Integration and Differential Equations (2005)Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion (2008)Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: The critical case H=1/4 (2009)Un Cours sur les Intégrales Stochastiques (2002)On the Constructions of the Skew Brownian Motion (2005)Selling a stock at the ultimate maximum (2009)ON THE AMERICAN OPTION PROBLEM (2005)The trap of complacency in predicting the maximum (2007)CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS (2002)Weighted Local Time for Fractional Brownian Motion and Applications to Finance (2005)Stochastic Control for Linear Systems Driven by Fractional Noises (2005)Differential Equations Driven by Hölder Continuous Functions of Order Greater than 1/2 (2007)Fractional Brownian motion: stochastic calculus and applications (2007)Hybrid scheme for Brownian semistationary processes (2017)Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2019)
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References

  • 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes922 cited
  • 2007A Change-of-Variable Formula with Local Time on Surfaces228 cited
  • 2005Integral transformations and anticipative calculus for fractional Brownian motions200 cited
  • 2005A Change-of-Variable Formula with Local Time on Curves176 cited
  • 2005Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12)133 cited
  • 2004m-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index101 cited
  • 2000Integration with respect to local time96 cited
  • 2003Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index ${H \ge \frac{1}{4}}$69 cited
  • 2001Self-intersection local time of fractional Brownian motions-via chaos expansion49 cited
  • 1991Local Time and Stochastic Area Integrals45 cited
  • 2005Local time–space stochastic calculus for Lévy processes41 cited
  • 2006Two-parameter p, q-variation Paths and Integrations of Local Times30 cited
  • 2008Integration with Respect to Fractional Local Time with Hurst Index 1/2 < H < 127 cited
  • 2014On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion25 cited

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