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Stochastic calculus with respect to fractional Brownian motion
16 references·4 citing·31 second hop
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  • 1993Forward, backward and symmetric stochastic integration318 cited
  • 2002Stochastic analysis, rough path analysis and fractional Brownian motions317 cited
  • 2003Stochastic integration with respect to fractional brownian motion230 cited
  • 2003

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Stochastic integration with respect to the fractional Brownian motion
228 cited

Cited by

  • 2012Parametric estimation for sub-fractional Ornstein–Uhlenbeck process47 cited
  • 2019Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity39 cited
  • 2020Portfolio Optimization in Fractional and Rough Heston Models34 cited
  • 2019Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity33 cited