Stochastic integration with respect to fractional brownian motion
Philippe Carmona; Laure Coutin; Gérard Montseny
Annales de l'I.H.P. Probabilités et statistiques (2003)
- Volume: 39, Issue: 1, page 27-68
- ISSN: 0246-0203
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topCarmona, Philippe, Coutin, Laure, and Montseny, Gérard. "Stochastic integration with respect to fractional brownian motion." Annales de l'I.H.P. Probabilités et statistiques 39.1 (2003): 27-68. <http://eudml.org/doc/77756>.
@article{Carmona2003,
author = {Carmona, Philippe, Coutin, Laure, Montseny, Gérard},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {Gaussian process; stochastic integral; Malliavin calculus; fractional integration},
language = {eng},
number = {1},
pages = {27-68},
publisher = {Elsevier},
title = {Stochastic integration with respect to fractional brownian motion},
url = {http://eudml.org/doc/77756},
volume = {39},
year = {2003},
}
TY - JOUR
AU - Carmona, Philippe
AU - Coutin, Laure
AU - Montseny, Gérard
TI - Stochastic integration with respect to fractional brownian motion
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2003
PB - Elsevier
VL - 39
IS - 1
SP - 27
EP - 68
LA - eng
KW - Gaussian process; stochastic integral; Malliavin calculus; fractional integration
UR - http://eudml.org/doc/77756
ER -
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Citations in EuDML Documents
top- Raluca M. Balan, Lp-theory for the stochastic heat equation with infinite-dimensional fractional noise
- Patrick Cheridito, David Nualart, Stochastic integral of divergence type with respect to fractional brownian motion with Hurst parameter
- Raluca M. Balan, -theory for the stochastic heat equation with infinite-dimensional fractional noise
- Annie Millet, Marta Sanz-Solé, Large deviations for rough paths of the fractional brownian motion
- L. Decreusefond, Stochastic integration with respect to Volterra processes
- Mihai Gradinaru, Ivan Nourdin, Francesco Russo, Pierre Vallois, m-order integrals and generalized Itô's formula ; the case of a fractional brownian motion with any Hurst index
- David Nualart, Stochastic calculus with respect to fractional Brownian motion
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