Approximation at first and second order of -order integrals of the fractional Brownian motion and of certain semimartingales.
Gradinaru, Mihai, Nourdin, Ivan (2003)
Electronic Journal of Probability [electronic only]
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Displaying similar documents to “Time reversal for drifted fractional Brownian motion with Hurst index .”
Approximation at first and second order of -order integrals of the fractional Brownian motion and of certain semimartingales.
Further exponential generalization of Pitman's theorem.
Baudoin, Fabrice (2002)
Electronic Communications in Probability [electronic only]
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Dynamical properties and characterization of gradient drift diffusions.
Darses, Sébastian, Nourdin, Ivan (2007)
Electronic Communications in Probability [electronic only]
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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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Generalized BSDE driven by a Lévy process.
El Otmani, Mohamed (2006)
Journal of Applied Mathematics and Stochastic Analysis
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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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Volterra equations with fractional stochastic integrals.
El-Borai, Mahmoud M., El-Nadi, Khairia El-Said, Mostafa, Osama L., Ahmed, Hamdy M. (2004)
Mathematical Problems in Engineering
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Collision local times, historical stochastic calculus, and competing superprocesses.
Evans, Steven N., Perkins, Edwin A. (1998)
Electronic Journal of Probability [electronic only]
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Transience and non-explosion of certain stochastic Newtonian systems.
Kolokol'tsov, V.N., Schilling, R.L., Tyukov, A.E. (2002)
Electronic Journal of Probability [electronic only]
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A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility.
Alòs, Elisa, León, Jorge A., Pontier, Monique, Vives, Josep (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Linear filtering of systems with memory and application to finance.
Inoue, A., Nakano, Y., Anh, V. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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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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Local limit theorems for Brownian additive functionals and penalisation of Brownian paths, IX
Bernard Roynette, Marc Yor (2010)
ESAIM: Probability and Statistics
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We obtain a local limit theorem for the laws of a class of Brownian additive functionals and we apply this result to a penalisation problem. We study precisely the case of the additive functional: . On the other hand, we describe Feynman-Kac type penalisation results for long Brownian bridges thus completing some similar previous study for standard Brownian motion (see [B. Roynette, P. Vallois and M. Yor, (2006) 171–246]).