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Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
8 references·0 citing·31 second hop
Local time and Tanaka formula for a Volterra-type multifractional Gaussian process (2010)Local time and Tanaka formula for a Volte…An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion (2007)An Introduction to (Stochasti…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…PATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION (2005)PATH PROPERTIES OF THE LINEAR…Real harmonizable multifractional Lévy motions (2004)Real harmonizable multifracti…Tanaka formula for the fractional Brownian motion (2001)Tanaka formula for the fracti…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Identifying the multifractional function of a Gaussian process (1998)Identifying the multifraction…Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Stable Non-Gaussian Random Pr…Fractional Brownian Motions, Fractional Noises and Applications (1968)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Controlled differential equations as Young integrals: A simple approach (2010)Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (2017)Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity (2019)The Malliavin Calculus and Related Topics (1995)Skorohod integration and stochastic calculus beyond the fractional Brownian scale (2004)Stochastic calculus with respect to fractional Brownian motion (2009)Itô's formula for a sub-fractional Brownian motion (2011)The Generalized Multifractional Brownian Motion (2000)Theory and applications of long-range dependence (2003)Self‐Similar Processes (2004)A Ferguson–Klass–LePage series representation of multistable multifractional motions and related processes (2012)Quadratic variations and estimation of the local Hölder index of a Gaussian process (1997)Path properties of multifractal Brownian motion (2010)Nonparametric estimation of the local Hurst function of multifractional Gaussian processes (2012)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)The variation of certain speculative prices (1997)Modelling by Lévy Processess for Financial Econometrics (2001)Multifractality Tests Using Bootstrapped Wavelet Leaders (2007)Analysis of the Rosenblatt process (2008)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion (2004)Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (2011)Estimators of Fractal Dimension: Assessing the Roughness of Time Series and Spatial Data (2012)Differential equations driven by fractional Brownian motion (2002)Stochastic evolution equations with fractional Brownian motion (2003)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)
this work references cited by second hop

References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 1997Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994389 cited
  • 1998Identifying the multifractional function of a Gaussian process133 cited
  • 2007An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion65 cited
  • 2001Tanaka formula for the fractional Brownian motion59 cited
  • 2004Real harmonizable multifractional Lévy motions43 cited
  • 2005PATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION41 cited

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