Probability structure preserving and absolute continuity
Annales de l'I.H.P. Probabilités et statistiques (2002)
- Volume: 38, Issue: 4, page 557-580
- ISSN: 0246-0203
Access Full Article
topHow to cite
topHu, Yaozhong. "Probability structure preserving and absolute continuity." Annales de l'I.H.P. Probabilités et statistiques 38.4 (2002): 557-580. <http://eudml.org/doc/77725>.
@article{Hu2002,
author = {Hu, Yaozhong},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {stochastic integral; probability structure preserving mapping; absolute continuity; fractional Brownian motion; Radon-Nikodym derivative; anticipative Girsanov theorem},
language = {eng},
number = {4},
pages = {557-580},
publisher = {Elsevier},
title = {Probability structure preserving and absolute continuity},
url = {http://eudml.org/doc/77725},
volume = {38},
year = {2002},
}
TY - JOUR
AU - Hu, Yaozhong
TI - Probability structure preserving and absolute continuity
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2002
PB - Elsevier
VL - 38
IS - 4
SP - 557
EP - 580
LA - eng
KW - stochastic integral; probability structure preserving mapping; absolute continuity; fractional Brownian motion; Radon-Nikodym derivative; anticipative Girsanov theorem
UR - http://eudml.org/doc/77725
ER -
References
top- [1] E. Alòs, O. Mazet,, D. Nualart, Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2, Stochastic Process. Appl.86 (2000) 121-139. Zbl1028.60047MR1741199
- [2] R. Buckdahn, Anticipative Girsanov transformations and Skorohod stochastic differential equations, Mem. Amer. Math. Soc.111 (533) (1994). Zbl0849.60053MR1219706
- [3] W. Dai, C.C. Heyde, Itô formula with respect to fractional Brownian motion and its application, J. Appl. Math. Stoch. Anal.9 (1996) 439-448. Zbl0867.60029MR1429266
- [4] L. Decreusefond, A.S. Üstünel, Stochastic analysis of the fractional Brownian motion, Potential Analysis10 (1999) 177-214. Zbl0924.60034MR1677455
- [5] T.E. Duncan, Y.Z. Hu, B. Pasik-Duncan, Stochastic calculus for fractional Brownian motion, I. Theory, SIAM J. Control Optim.38 (2000) 582-612. Zbl0947.60061MR1741154
- [6] Y.Z. Hu, G. Kallianpur, Exponential integrability and application to stochastic quantization, Appl. Math. Optim.37 (1998) 295-353. Zbl0903.60046MR1610803
- [7] Y.Z. Hu, P.A. Meyer, Chaos de Wiener et intégrale de Feynman, in: Séminaire de Probabilités, XXII, Lecture Notes in Math., 1321, Springer, Berlin, 1988, pp. 51-71. Zbl0644.60081MR960508
- [8] Y.Z. Hu, P.A. Meyer, Sur les intégrales multiples de Stratonovich, in: Séminaire de Probabilités, XXII, Lecture Notes in Math., 1321, Springer, Berlin, 1988, pp. 72-81. Zbl0644.60082MR960509
- [9] Y.Z. Hu, P.A. Meyer, On the approximation of multiple Stratonovich integrals, in: Stochastic Processes, Springer, New York, 1993, pp. 141-147. Zbl0798.60057MR1427310
- [10] Y.Z. Hu, B. Øksendal, Fractional white noise calculus and applications to finance, Preprint, University of Oslo, 1999. Zbl1045.60072
- [11] Y.Z. Hu, Prediction and translation of fractional Brownian motions, in: Hida T., (Eds.), Stochastics in Finite and Infinite Dimensions, Birkhäuser, 2000, pp. 153-171. Zbl0973.60059MR1797086
- [12] S. Janson, Gaussian Hilbert Spaces, Cambridge University Press, 1997. Zbl0887.60009MR1474726
- [13] P. Malliavin, Stochastic Analysis, Grundlehren der Mathematischen Wissenschaften, 313, Springer, Berlin, 1997. Zbl0878.60001MR1450093
- [14] B.B. Mandelbrot, J.W. Van Ness, Fractional Brownian motions, fractional noises and applications, SIAM Rev.10 (1968) 422-437. Zbl0179.47801MR242239
- [15] D. Nualart, The Malliavin Calculus and Related Topics, Probability and its Applications, Springer, New York, 1995. Zbl0837.60050MR1344217
- [16] J. Neveu, Processus aléatoires gaussiens, Les Presses de l'Université de Montréal, Montreal, Quebec, 1968. Zbl0192.54701MR272042
- [17] J. Norris, Simplified Malliavin calculus, in: Séminaire de Probabilités, XX, 1984/85, Lecture Notes in Math., 1204, Springer, Berlin, 1986, pp. 101-130. Zbl0609.60066MR942019
- [18] V. Pipiras, M.S. Taqqu, Integration questions related to fractional Brownian motion, Probab. Theory Related Fields118 (2000) 251-291. Zbl0970.60058MR1790083
- [19] S.G. Samko, A.A. Kilbas, O.I. Marichev, Fractional Integrals and Derivatives, Theory and Applications, Gordon and Breach Science Publishers, 1993. Zbl0818.26003MR1347689
- [20] D.W. Stroock, S.R.S. Varadhan, Multidimensional Diffusion Processes, Springer, Berlin, 1979. Zbl0426.60069MR532498
- [21] A.S. Üstünel, M. Zakai, Transformation of Measure on Wiener Space, Springer Monographs in Mathematics, Springer, Berlin, 2000. Zbl0938.46045MR1736980
Citations in EuDML Documents
topNotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.