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Representation Formulae for the Fractional Brownian Motion · Study

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ChapterRepresentation Formulae for the Fractional Brownian Motion

Jean Picard2010

Chapter2010

Representation Formulae for the Fractional Brownian Motion

50 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Fractional Differential Equations Solutions Fuzzy Systems and Optimization

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 1999Stochastic Analysis of the Fractional Brownian Motion 2003Fractional Ornstein-Uhlenbeck processes 1999An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions 2001Mixed Fractional Brownian Motion 2002Stochastic analysis, rough path analysis and fractional Brownian motions 1999Alternative forms of fractional Brownian motion 1996On the prediction of fractional Brownian motion

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2024Functional central limit theorems for rough volatility 2023Deep Curve-Dependent PDEs for Affine Rough Volatility 2022Distribution dependent SDEs driven by additive fractional Brownian motion 2013White noise-based stochastic calculus with respect to multifractional Brownian motion 2020Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model 2019Gaussian stochastic volatility models: Scaling regimes, large deviations, and moment explosions

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Year2010

Typechapter

Published2010-09-08

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations50

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-642-15217-7_1

openalex_workW3087286491

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2015Some sample path properties of multifractional Brownian motion

2021Time-inhomogeneous Gaussian stochastic volatility models: Large deviations and super roughness