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Parameter Estimation for α-Fractional Bridges
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Parameter Estimation for α-Fractional Bridges (2013)Parameter Estimation for α-Fractional Bri…Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Parameter estimation for frac…Elements of Stochastic Calculus via Regularization (2007)Elements of Stochastic Calcul…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Central limit theorems for sequences of multiple stochastic integrals (2005)Central limit theorems for se…On a One-Parameter Generalization of the Brownian Bridge and Associated Quadratic Functionals (2004)On a One-Parameter Generaliza…Stochastic integration with respect to the fractional Brownian motion (2003)Stochastic integration with r…Integration questions related to fractional Brownian motion (2000)Integration questions related…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Differential equations driven by rough signals (1998)Integration with respect to fractal functions and stochastic calculus. I (1998)Controlling rough paths (2004)Exact Rate of Convergence of Some Approximation Schemes Associated to SDEs Driven by a Fractional Brownian Motion (2007)The weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6 (2010)A variational approach to the construction and Malliavin differentiability of strong solutions of SDE’s (2013)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic integration with respect to fractional brownian motion (2003)Analysis of the Rosenblatt process (2008)Stochastic Calculus for Fractional Brownian Motion and Applications (2008)Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation (2011)Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017)Modeling and forecasting realized volatility with the fractional Ornstein–Uhlenbeck process (2021)Fractional Brownian Motions, Fractional Noises and Applications (1968)Stochastic Analysis (1997)An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter (2003)Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem (2007)Handbook of Brownian Motion — Facts and Formulae (1996)Continuous Martingales and Brownian Motion (1999)Handbook of Brownian Motion - Facts and Formulae (2002)Perpetual Integral Functionals as Hitting and Occupation Times (2005)Karhunen-Loève expansions of α-Wiener bridges (2010)Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions (2011)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Gaussian Limits for Vector-valued Multiple Stochastic Integrals (2004)Stein’s method on Wiener chaos (2008)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)
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References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 2005Central limit theorems for sequences of multiple stochastic integrals442 cited
  • 2000Integration questions related to fractional Brownian motion357 cited
  • 2010Parameter estimation for fractional Ornstein–Uhlenbeck processes299 cited
  • 2003Stochastic integration with respect to the fractional Brownian motion228 cited
  • 2007Elements of Stochastic Calculus via Regularization122 cited
  • 2004On a One-Parameter Generalization of the Brownian Bridge and Associated Quadratic Functionals34 cited

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