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ArticleA series expansion of fractional Brownian motion

Kacha Dzhaparidze2004

OA

Articlebronze2004

A series expansion of fractional Brownian motion

Kacha Dzhaparidze · Harry J. van Zanten

159 citations·0/0 files stored·Probability Theory and Related Fields

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Stochastic processes and financial applications Mathematical functions and polynomials Fractional Differential Equations Solutions

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References

1968Fractional Brownian Motions, Fractional Noises and Applications

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2006Some properties of the sub-fractional Brownian motion 2008On the Wiener integral with respect to a sub-fractional Brownian motion on an interval 2010The stochastic wave equation with fractional noise: A random field approach 2003Parametric estimation for linear stochastic differential equations driven by fractional Brownian motion 2010Representation Formulae for the Fractional Brownian Motion 2004Generalised Ornstein-Uhlenbeck Processes and the Convergence of Lévy Integrals 2012Parametric estimation for sub-fractional Ornstein–Uhlenbeck process 2009Stochastic calculus for fractional Brownian motion with Hurst exponent H>¼: A rough path method by analytic extension

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Year2004

Typearticle

Published2004-03-03

VenueProbability Theory and Related Fields

ISSN-L0178-8051

Languageen

Citations159

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00440-003-0310-2

openalex_workW63803524

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