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Stochastic Calculus with respect to Gaussian processes
16 references·1 citing·30 second hop
Stochastic Calculus with respect to Gaussian processes (2014)Stochastic Calculus with respect to Gauss…Stochastic partial differential equations (2020)Stochastic partial differenti…Multidimensional Stochastic Processes as Rough Paths (2010)Multidimensional Stochastic P…Stochastic Partial Differential Equations (2009)Stochastic Partial Differenti…Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)Stochastic Calculus for Fract…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…A General Fractional White Noise Theory And Applications To Finance (2003)A General Fractional White No…Stochastic Calculus with Respect to Gaussian Processes (2001)Stochastic Calculus with Resp…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Integration with respect to fractal functions and stochastic calculus. I (1998)Integration with respect to f…Stochastic Partial Differential Equations: A Modeling, White Noise Functional Approach. (1997)Stochastic Partial Differenti…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Calcul d'ito sans probabilites (1981)Calcul d'ito sans probabilitesOn a Generalization of a Stochastic Integral (1976)On a Generalization of a Stoc…Analysis of Brownian functionals (1976)Analysis of Brownian function…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Minimum $L_1$-norm estimation for fractional Ornstein–Uhlenbeck type process (2005)Minimum $L_1$-norm estimation…Multiple Wiener Integral (1951)Integration questions related to fractional Brownian motion (2000)Differential equations driven by fractional Brownian motion (2002)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)Stochastic Differential Equations and Diffusion Processes (1983)Differential equations driven by rough signals (1998)Densities for rough differential equations under Hörmander’s condition (2010)Smoothness of the density for solutions to Gaussian rough differential equations (2014)Averaging along irregular curves and regularisation of ODEs (2016)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (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)White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (2000)An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter (2003)White noise analysis for Lévy processes (2003)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)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)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Central limit theorems for sequences of multiple stochastic integrals (2005)Fractional stochastic differential equations with applications to finance (2012)Hybrid scheme for Brownian semistationary processes (2017)Stochastic averaging for stochastic differential equations driven by fractional Brownian motion and standard Brownian motion (2019)
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  • 2005Minimum $L_1$-norm estimation for fractional Ornstein–Uhlenbeck type process18 cited