Time reversal for drifted fractional Brownian motion with Hurst index .
Darses, Sebastien, Saussereau, Bruno (2007)
Electronic Journal of Probability [electronic only]
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Displaying similar documents to “Approximation at first and second order of -order integrals of the fractional Brownian motion and of certain semimartingales.”
Time reversal for drifted fractional Brownian motion with Hurst index .
Some limit theorems connected with Brownian local time.
Ghomrasni, Raouf (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Linear filtering with fractional Brownian motion in the signal and observation processes.
Kleptsyna, M.L., Kloeden, P.E., Anh, V.V. (1999)
Journal of Applied Mathematics and Stochastic Analysis
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Collision local times, historical stochastic calculus, and competing superprocesses.
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Electronic Journal of Probability [electronic only]
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Some remarks on
John B. Walsh (1993)
Séminaire de probabilités de Strasbourg
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On mean numbers of passage times in small balls of discretized Itô processes.
Bernardin, Frédéric, Bossy, Mireille, Martinez, Miguel, Talay, Denis (2009)
Electronic Communications in Probability [electronic only]
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Local extinction for superprocesses in random environments.
Mytnik, Leonid, Xiong, Jie (2007)
Electronic Journal of Probability [electronic only]
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Enhanced Gaussian processes and applications
Laure Coutin, Nicolas Victoir (2009)
ESAIM: Probability and Statistics
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We propose some construction of enhanced Gaussian processes using Karhunen-Loeve expansion. We obtain a characterization and some criterion of existence and uniqueness. Using rough-path theory, we derive some Wong-Zakai Theorem.
On a SDE driven by a fractional Brownian motion and with monotone drift.
Boufoussi, Brahim, Ouknine, Youssef (2003)
Electronic Communications in Probability [electronic only]
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Fractional Ornstein-Uhlenbeck processes.
Cheridito, Patrick, Kawaguchi, Hideyuki, Maejima, Makoto (2003)
Electronic Journal of Probability [electronic only]
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Further exponential generalization of Pitman's theorem.
Baudoin, Fabrice (2002)
Electronic Communications in Probability [electronic only]
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An extension of the Yamada-Watanabe condition for pathwise uniqueness to stochastic differential equations with jumps.
Hoepfner, Reinhard (2009)
Electronic Communications in Probability [electronic only]
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