SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Harnack-Type Inequalities and Applications for SDE Driven by Fractional Brownian Motion
11 references·0 citing·37 second hop
Harnack-Type Inequalities and Applications for SDE Driven by Fractional Brownian Motion (2014)Harnack-Type Inequalities and Application…Harnack inequality and derivative formula for SDE driven by fractional Brownian motion (2013)Harnack inequality and deriva…Derivative formulas and gradient estimates for SDEs driven by α -stable processes (2012)Derivative formulas and gradi…Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Stochastic Calculus for Fract…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Stochastic analysis, rough pa…Regularization of differential equations by fractional noise (2002)Regularization of differentia…Differential equations driven by fractional Brownian motion (2002)Differential equations driven…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Analysis of the Fr…Integration with respect to fractal functions and stochastic calculus. I (1998)Integration with respect to f…Differential equations driven by rough signals (1998)Differential equations driven…Fractional Brownian Motions, Fractional Noises and Applications (1968)Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion (2008)Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion (2008)Fractional stochastic differential equations with applications to finance (2012)Stochastic Differential Equations and Diffusion Processes (1983)Continuous Martingales and Brownian Motion (1999)Brownian Motion and Stochastic Calculus (2007)Differential Equations Driven by Rough Paths (2007)Multidimensional Stochastic Processes as Rough Paths (2010)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Integration and Differential Equations (2005)Gradient estimates for SDEs driven by multiplicative Lévy noise (2015)Davie's type uniqueness for a class of SDEs with jumps (2018)Bismut formula for Lions derivative of distribution-path dependent SDEs (2021)Multiple Wiener Integral (1951)Stochastic calculus with anticipating integrands (1988)Integration questions related to fractional Brownian motion (2000)On the non-existence of path integrals (1991)Variation of iterated Brownian motion (1994)Stochastic area for Brownian motion on the Sierpinski gasket (1998)Controlling rough paths (2004)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Calcul d'ito sans probabilites (1981)Dirichlet Forms and Analysis on Wiener Space (1991)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (2003)Stochastic Differential Equations and Applications (1976)2005): Statistical Aspects of the fractional stochastic calculus (2005)Statistical aspects of the fractional stochastic calculus (2007)Averaging along irregular curves and regularisation of ODEs (2016)The Malliavin Calculus and Related Topics (1995)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)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)A note on the use of fractional Brownian motion for financial modeling (2012)
this work references cited by second hop

References

  • 2006The Malliavin Calculus and Related Topics2,548 cited
  • 2008Stochastic Calculus for Fractional Brownian Motion and Applications1,087 cited
  • 1998Differential equations driven by rough signals1,077 cited
  • 1999Stochastic Analysis of the Fractional Brownian Motion744 cited
  • 1998Integration with respect to fractal functions and stochastic calculus. I589 cited
  • 2001Stochastic Calculus with Respect to Gaussian Processes536 cited
  • 2002Differential equations driven by fractional Brownian motion408 cited
  • 2002Stochastic analysis, rough path analysis and fractional Brownian motions317 cited
  • 2002Regularization of differential equations by fractional noise170 cited
  • 2012Derivative formulas and gradient estimates for SDEs driven by α -stable processes88 cited
  • 2013Harnack inequality and derivative formula for SDE driven by fractional Brownian motion28 cited

Cited by

No citing works inside the corpus for this window.

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work