Large deviation principle for enhanced gaussian processes
Peter Friz, Nicolas Victoir (2007)
Annales de l'I.H.P. Probabilités et statistiques
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Peter Friz, Nicolas Victoir (2007)
Annales de l'I.H.P. Probabilités et statistiques
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Wensheng Wang (2007)
Annales de l'I.H.P. Probabilités et statistiques
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Mihai Gradinaru, Ivan Nourdin (2009)
Annales de l'I.H.P. Probabilités et statistiques
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Weighted power variations of fractional brownian motion are used to compute the exact rate of convergence of some approximating schemes associated to one-dimensional stochastic differential equations (SDEs) driven by . The limit of the error between the exact solution and the considered scheme is computed explicitly.
Mihai Gradinaru, Ivan Nourdin, Francesco Russo, Pierre Vallois (2005)
Annales de l'I.H.P. Probabilités et statistiques
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Antoine Ayache, Narn-Rueih Shieh, Yimin Xiao (2011)
Annales de l'I.H.P. Probabilités et statistiques
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By using a wavelet method we prove that the harmonisable-type -parameter multifractional brownian motion (mfBm) is a locally nondeterministic gaussian random field. This nice property then allows us to establish joint continuity of the local times of an (, )-mfBm and to obtain some new results concerning its sample path behavior.
David Nualart, Aurel Rascanu (2002)
Collectanea Mathematica
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A global existence and uniqueness result of the solution for multidimensional, time dependent, stochastic differential equations driven by a fractional Brownian motion with Hurst parameter H > 1/2 is proved. It is shown, also, that the solution has finite moments. The result is based on a deterministic existence and uniqueness theorem whose proof uses a contraction principle and a priori estimates.