Add to ORKGWe introduce the stochastic integration with respect to the infinite-dimensional frac-tional Brownian motion. Using the techniques of the anticipating stochastic calculus, we derive an Ito ̂ formula for Hurst parameter bigger than 12.
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
We present new theoretical results on the fractional Brownian motion, including different definition...
In this paper we show, by using dyadic approximations, the existence of a geometric rough path assoc...
We introduce the stochastic integration with respect to the infinite-dimensional fractional Brownian...
In this paper a stochastic calculus is given for the fractional Brownian motions that have the Hurst...
Ito formula for the two-parameter fractional Brownian motion 1 Ito ̂ formula for the two-parameter f...
Fractional Brownian motion (FBM) with Hurst index 1/2 < H < 1 is not a semimartingale. Consequ...
AbstractIn this paper we introduce a stochastic integral with respect to the process Bt=∫0t(t−s)−αdW...
International audienceWe develop a stochastic calculus of divergence type with respect to the fracti...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
We consider fractional Brownian motions BtH with arbitrary Hurst coefficients 0Fractional Brownian m...
In this thesis, we investigate the properties of solution to the stochastic differential equation dr...
Brownian motions have played an increasingly important role in many fields of application such as hy...
Abstract. The possibility to extend the classical Ito's construction of stochastic integrals is...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
We present new theoretical results on the fractional Brownian motion, including different definition...
In this paper we show, by using dyadic approximations, the existence of a geometric rough path assoc...
We introduce the stochastic integration with respect to the infinite-dimensional fractional Brownian...
In this paper a stochastic calculus is given for the fractional Brownian motions that have the Hurst...
Ito formula for the two-parameter fractional Brownian motion 1 Ito ̂ formula for the two-parameter f...
Fractional Brownian motion (FBM) with Hurst index 1/2 < H < 1 is not a semimartingale. Consequ...
AbstractIn this paper we introduce a stochastic integral with respect to the process Bt=∫0t(t−s)−αdW...
International audienceWe develop a stochastic calculus of divergence type with respect to the fracti...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
We consider fractional Brownian motions BtH with arbitrary Hurst coefficients 0Fractional Brownian m...
In this thesis, we investigate the properties of solution to the stochastic differential equation dr...
Brownian motions have played an increasingly important role in many fields of application such as hy...
Abstract. The possibility to extend the classical Ito's construction of stochastic integrals is...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
We present new theoretical results on the fractional Brownian motion, including different definition...
In this paper we show, by using dyadic approximations, the existence of a geometric rough path assoc...