Stochastic integration with respect to Volterra processes
L. Decreusefond (2005)
Annales de l'I.H.P. Probabilités et statistiques
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Displaying similar documents to “Ergodicity of hypoelliptic SDEs driven by fractional brownian motion”
Stochastic integration with respect to Volterra processes
Stochastic integral of divergence type with respect to fractional brownian motion with Hurst parameter
Patrick Cheridito, David Nualart (2005)
Annales de l'I.H.P. Probabilités et statistiques
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Stochastic calculus with respect to fractional Brownian motion
David Nualart (2006)
Annales de la faculté des sciences de Toulouse Mathématiques
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Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter called the Hurst index. In this conference we will survey some recent advances in the stochastic calculus with respect to fBm. In the particular case , the process is an ordinary Brownian motion, but otherwise it is not a semimartingale and Itô calculus cannot be used. Different approaches have been introduced to construct stochastic integrals with...
Stochastic integration with respect to fractional brownian motion
Philippe Carmona, Laure Coutin, Gérard Montseny (2003)
Annales de l'I.H.P. Probabilités et statistiques
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On the regularity of stochastic currents, fractional brownian motion and applications to a turbulence model
Franco Flandoli, Massimiliano Gubinelli, Francesco Russo (2009)
Annales de l'I.H.P. Probabilités et statistiques
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We study the pathwise regularity of the map ↦()= 〈( ), d 〉, where is a vector function on ℝ belonging to some Banach space , is a stochastic process and the integral is some version of a stochastic integral defined via regularization. A continuous version of this map, seen as a random element of the topological dual of will be called . We give sufficient conditions for the current to live in some Sobolev space of distributions...