Add to ORKGUsing the tools of the stochastic integration with respect to the fractional Brownian motion, we obtain the expression of the characteristic function of the random variable ∫ 1 0 Bαs dB H s where B α and BH are two independent fractional Brownian motions with Hurst parameters α ∈ (0, 1) and H> 12 respectively. The two-parameter case is also considered.
Abstract. The possibility to extend the classical Ito's construction of stochastic integrals is...
In this paper we show, by using dyadic approximations, the existence of a geometric rough path assoc...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obt...
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obt...
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obt...
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obt...
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obt...
AbstractWe extend the Stieltjes integral to Hölder functions of two variables and prove an existence...
In this paper a stochastic calculus is given for the fractional Brownian motions that have the Hurst...
In this paper a stochastic calculus is given for the fractional Brownian motions that have the Hurst...
AbstractIn this paper we introduce a stochastic integral with respect to the process Bt=∫0t(t−s)−αdW...
This thesis deals with the stochastic integral with respect to Gaussian processes, which can be expr...
Abstract We show that if a random variable is the final value of an adapted log-Hölder con-tinuous p...
ABSTRACT. We give a fairly complete survey of the stochastic integration with respect to the fractio...
Abstract. The possibility to extend the classical Ito's construction of stochastic integrals is...
In this paper we show, by using dyadic approximations, the existence of a geometric rough path assoc...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obt...
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obt...
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obt...
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obt...
Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obt...
AbstractWe extend the Stieltjes integral to Hölder functions of two variables and prove an existence...
In this paper a stochastic calculus is given for the fractional Brownian motions that have the Hurst...
In this paper a stochastic calculus is given for the fractional Brownian motions that have the Hurst...
AbstractIn this paper we introduce a stochastic integral with respect to the process Bt=∫0t(t−s)−αdW...
This thesis deals with the stochastic integral with respect to Gaussian processes, which can be expr...
Abstract We show that if a random variable is the final value of an adapted log-Hölder con-tinuous p...
ABSTRACT. We give a fairly complete survey of the stochastic integration with respect to the fractio...
Abstract. The possibility to extend the classical Ito's construction of stochastic integrals is...
In this paper we show, by using dyadic approximations, the existence of a geometric rough path assoc...
The aim of this work is to establish and generalize a relationship between fractional partial differ...