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Averaging dynamics driven by fractional Brownian motion
7 references·5 citing·31 second hop
Averaging dynamics driven by fractional Brownian motion (2020)Averaging dynamics driven by fractional B…A Course on Rough Paths (2014)A Course on Rough PathsStochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion (2008)Stochastic Differential Equat…Ergodicity of stochastic differential equations driven by fractional Brownian motion (2005)Ergodicity of stochastic diff…Controlling rough paths (2004)Controlling rough pathsDifferential equations driven by rough signals (1998)Differential equations driven…Differential equations driven by rough signals (I): an extension of an inequality of L. C. Young (1994)Differential equations driven…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Central limit type theorem and large deviation principle for multi-scale McKean–Vlasov SDEs (2023)Central limit type theorem an…Averaging principles for mixed fast-slow systems driven by fractional Brownian motion (2023)Averaging principles for mixe…Strong convergence rates in averaging principle for slow-fast McKean-Vlasov SPDEs (2022)Strong convergence rates in a…Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2022)Averaging principle for distr…A stochastic sewing lemma and applications (2018)A stochastic sewing lemma and…On stochastic differential equations (1951)Stochastic Integration and $L^p$-Theory of Semimartingales (1981)Malliavin calculus for stochastic differential equations driven by a fractional Brownian motion (2008)On the uniqueness of solutions of stochastic differential equations (1971)Mixed stochastic differential equations with long-range dependence: Existence, uniqueness and convergence of solutions (2012)Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2019)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Continuous Martingales and Brownian Motion (1999)Operators associated with a stochastic differential equation driven by fractional Brownian motions (2006)Ergodicity of hypoelliptic SDEs driven by fractional Brownian motion (2011)Regularity of laws and ergodicity of hypoelliptic SDEs driven by rough paths (2013)Brownian Motion and Stochastic Calculus (2007)Approximation of SDEs: a stochastic sewing approach (2021)C∞− regularization of ODEs perturbed by noise (2021)Distribution dependent SDEs driven by additive fractional Brownian motion (2022)Stochastic Partial Differential Equations: An Introduction (2015)Mean-field stochastic differential equations and associated PDEs (2017)From nonlinear Fokker–Planck equations to solutions of distribution dependent SDE (2020)Stochastic differential equations and applications (1977)Integration with respect to fractal functions and stochastic calculus. I (1998)The Malliavin Calculus and Related Topics (2006)Differential equations driven by fractional Brownian motion (2002)Multidimensional Stochastic Processes as Rough Paths (2010)Elements of Stochastic Calculus via Regularization (2007)Ramification of rough paths (2009)Averaging along irregular curves and regularisation of ODEs (2016)A Wong-Zakai theorem for stochastic PDEs (2015)Rough paths and 1d SDE with a time dependent distributional drift: application to polymers (2015)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1998Differential equations driven by rough signals1,077 cited
  • 2004Controlling rough paths578 cited
  • 2014A Course on Rough Paths428 cited
  • 1994Differential equations driven by rough signals (I): an extension of an inequality of L. C. Young174 cited
  • 2008Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion143 cited
  • 2005Ergodicity of stochastic differential equations driven by fractional Brownian motion130 cited

Cited by

  • 2018A stochastic sewing lemma and applications84 cited
  • 2022Averaging principle for distribution dependent stochastic differential equations driven by fractional Brownian motion and standard Brownian motion63 cited
  • 2022Strong convergence rates in averaging principle for slow-fast McKean-Vlasov SPDEs49 cited
  • 2023Central limit type theorem and large deviation principle for multi-scale McKean–Vlasov SDEs32 cited
  • 2023Averaging principles for mixed fast-slow systems driven by fractional Brownian motion28 cited

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