Add to ORKGAssume a standard Brownian motion W = (Wt)t∈[0,1] and a Borel function f: R → R such that Z = f(W1) ∈ L2. We show that certain approximation properties of Z with respect to the Brownian motion and the geometric Brownian motion are equivalent to the fact that f belongs to some fractional Sobolev space obtained by the real interpolation method from the couple (D1,2(γ), L2(γ)), where γ is the standard Gaussian measure on the real line
50 pages with 28 figures. For a supplemental Mathematica notebook (Ref[76]) see https://www.dropbox....
Nous expliquons comment combiner la méthode de Stein avec les outils du calcul de Malliavin pour maj...
Some of the most significant constructions of the fractional brownian motion developed recently are ...
AbstractAssume a standard Brownian motion W=(Wt)t∈[0,1], a Borel function f:R→R such that f(W1)∈L2, ...
We consider the problem of estimating a fractional Brown-ian motion known only from its noisy sample...
AbstractA general approximation model for the continuous additive functionals of the multidimensiona...
According to the Smoluchowski-Kramers approximation, the solution qµ,εt, also referred to as “Physic...
Functions in a Sobolev space are approximated directly by piecewise affine interpolation in the norm...
Let {BHt, t ∈ [0, τ]} be a fractional Brownian motion with Hurst parameter H ∈ (0, 1). We prove Kram...
Abstract. Functions in a Sobolev space are approximated directly by piecewise affine inter-polation ...
Click on the DOI link to access the article (may not be free).Starting with a discussion about the r...
In this paper we provide a discrete approximation for the stochastic integral with respect to the fr...
Fractional Brownian motion is a nontrivial generalization of standard Brownian motion (Wie- ner proc...
AbstractMaruyama introduced the notation db(t)=w(t)(dt)1/2 where w(t) is a zero-mean Gaussian white ...
Abstract. We consider simulation of Sub ’ð Þ-processes that are weakly selfsimilar with stationary i...
50 pages with 28 figures. For a supplemental Mathematica notebook (Ref[76]) see https://www.dropbox....
Nous expliquons comment combiner la méthode de Stein avec les outils du calcul de Malliavin pour maj...
Some of the most significant constructions of the fractional brownian motion developed recently are ...
AbstractAssume a standard Brownian motion W=(Wt)t∈[0,1], a Borel function f:R→R such that f(W1)∈L2, ...
We consider the problem of estimating a fractional Brown-ian motion known only from its noisy sample...
AbstractA general approximation model for the continuous additive functionals of the multidimensiona...
According to the Smoluchowski-Kramers approximation, the solution qµ,εt, also referred to as “Physic...
Functions in a Sobolev space are approximated directly by piecewise affine interpolation in the norm...
Let {BHt, t ∈ [0, τ]} be a fractional Brownian motion with Hurst parameter H ∈ (0, 1). We prove Kram...
Abstract. Functions in a Sobolev space are approximated directly by piecewise affine inter-polation ...
Click on the DOI link to access the article (may not be free).Starting with a discussion about the r...
In this paper we provide a discrete approximation for the stochastic integral with respect to the fr...
Fractional Brownian motion is a nontrivial generalization of standard Brownian motion (Wie- ner proc...
AbstractMaruyama introduced the notation db(t)=w(t)(dt)1/2 where w(t) is a zero-mean Gaussian white ...
Abstract. We consider simulation of Sub ’ð Þ-processes that are weakly selfsimilar with stationary i...
50 pages with 28 figures. For a supplemental Mathematica notebook (Ref[76]) see https://www.dropbox....
Nous expliquons comment combiner la méthode de Stein avec les outils du calcul de Malliavin pour maj...
Some of the most significant constructions of the fractional brownian motion developed recently are ...
