-
1
-
-
0010464555
-
White noise generalization of the Clark-Haussmann-Ocone theorem with applications to mathematical finance
-
Aase, K., Øksendal, B., Privault, N., Ubøe, J.: White noise generalization of the Clark-Haussmann-Ocone theorem with applications to mathematical finance. Finance Stoch., 4, 465–496 (2000)
-
(2000)
Finance Stoch
, vol.4
, pp. 465-496
-
-
Aase, K.1
Øksendal, B.2
Privault, N.3
Ubøe, J.4
-
2
-
-
0000481680
-
The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation
-
Abry, P., Sellan, F.: The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation. Appl. Comp. Harmon. Analysis, 3, 377–383 (1996)
-
(1996)
Appl. Comp. Harmon. Analysis
, vol.3
, pp. 377-383
-
-
Abry, P.1
Sellan, F.2
-
3
-
-
85069888195
-
Super fractional Brownian motion, fractional super Brownian motion and related self-similar (Super) processes
-
Adler, R.J.; Samorodnitsky, G.: Super fractional Brownian motion, fractional super Brownian motion and related self-similar (super) processes. Ann. Prob., 23, 743–766 (1995)
-
(1995)
Ann. Prob.
, vol.23
, pp. 743-766
-
-
Adler, R.J.1
Samorodnitsky, G.2
-
4
-
-
0038433460
-
Stratonovich stochastic calculus with respect to fractional Brownian motion with Hurst parameter less than 1/2
-
Alòs, E., León, I.A., Nualart, D.: Stratonovich stochastic calculus with respect to fractional Brownian motion with Hurst parameter less than 1/2. Taiwanesse J. Math., 5, 609–632 (2001)
-
(2001)
Taiwanesse J. Math.
, vol.5
, pp. 609-632
-
-
Alòs, E.1
León, I.A.2
Nualart, D.3
-
5
-
-
0000338690
-
Stochastic calculus with respect to fractional Brownian motion with Hurst parameter less than 1/2. Stoch
-
Alòs, E., Mazet, O., Nualart, D.: Stochastic calculus with respect to fractional Brownian motion with Hurst parameter less than 1/2. Stoch. Proc. Appl., 86, 121–139 (2000)
-
(2000)
Proc. Appl.
, vol.86
, pp. 121-139
-
-
Alòs, E.1
Mazet, O.2
Nualart, D.3
-
6
-
-
0035537291
-
Stochastic calculus with respect to Gaussian processes
-
Alòs, E., Mazet, O., Nualart, D.: Stochastic calculus with respect to Gaussian processes. Ann. Prob., 29, 766–801 (2001)
-
(2001)
Ann. Prob.
, vol.29
, pp. 766-801
-
-
Alòs, E.1
Mazet, O.2
Nualart, D.3
-
7
-
-
0346718762
-
Stochastic integration with respect to the fractional Brownian motion
-
Alòs, E., Nualart, D.: Stochastic integration with respect to the fractional Brownian motion. Stoch. Stoch. Rep., 75, 129–152 (2002)
-
(2002)
Stoch. Stoch. Rep.
, vol.75
, pp. 129-152
-
-
Alòs, E.1
Nualart, D.2
-
8
-
-
79954417928
-
The approximation of stochastic integral w.R.t. fBm by the integrals w.r.t. absolutely continuous processes. Prob
-
Androshchuk, T.: The approximation of stochastic integral w.r.t. fBm by the integrals w.r.t. absolutely continuous processes. Prob. Theory Math. Stat., 73, 11–20 (2005)
-
(2005)
Theory Math. Stat.
, vol.73
, pp. 11-20
-
-
Androshchuk, T.1
-
9
-
-
36049037803
-
Mixed Brownian–fractional Brownian model: Absence of arbitrage and related topics
-
Androshchuk, T., Mishura Y.: Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics. Stochastics: Intern. J. Prob. Stoch. Proc., 78, 281–300 (2006)
-
(2006)
Stochastics: Intern. J. Prob. Stoch. Proc.
, vol.78
, pp. 281-300
-
-
Androshchuk, T.1
Mishura, Y.2
-
10
-
-
34548703534
-
A fractional stochastic evolution equation driven by fractional Brownian motion
-
Anh, V., Grecksch, W.: A fractional stochastic evolution equation driven by fractional Brownian motion. Monte Carlo Methods Appl. 9, 189–199 (2003)
-
(2003)
Monte Carlo Methods Appl
, vol.9
, Issue.189-199
-
-
Anh, V.1
Grecksch, W.2
-
11
-
-
0037001043
-
Dynamic models of long– memory processes driven by Lévy noise with applications to finance and macroeconomics
-
Anh, V., Heyde, C., Leonenko, N.: Dynamic models of long– memory processes driven by Lévy noise with applications to finance and macroeconomics. J. Appl. Probab. 39, 730–747 (2002)
-
(2002)
J. Appl. Probab.
, vol.39
, pp. 730-747
-
-
Anh, V.1
Heyde, C.2
Leonenko, N.3
-
12
-
-
8744273993
-
Prediction of fractional Brownian motion with Hurst index less than 1/2
-
Anh, V., Inoue, A.: Prediction of fractional Brownian motion with Hurst index less than 1/2. Bull. Aust. Math. Soc., 70, 321– 328 (2004)
-
(2004)
Bull. Aust. Math. Soc.
, vol.70
, pp. 321-328
-
-
Anh, V.1
Inoue, A.2
-
13
-
-
16244389985
-
Financial markets with memory I: Dynamic models
-
Anh, V., Inoue, A.: Financial markets with memory I: Dynamic models. Stoch. Anal. Appl., 23, 275–300 (2005)
-
(2005)
Stoch. Anal. Appl.
, vol.23
, pp. 275-300
-
-
Anh, V.1
Inoue, A.2
-
14
-
-
16244415545
-
Financial markets with memory II: Innovation processes and expected utility maximization
-
Anh, V., Inoue, A.: Financial markets with memory II: Innovation processes and expected utility maximization. Stoch. Anal. Appl., 23, 301–328 (2005)
-
(2005)
Stoch. Anal. Appl.
, vol.23
, pp. 301-328
-
-
Anh, V.1
Inoue, A.2
-
15
-
-
85072867273
-
Stochastic differential equations with fractional Riesz–Bessel input
-
Anh, V., Leonenko, N., Nguyen, C.: Stochastic differential equations with fractional Riesz–Bessel input. Inform. Techn. Econom. Management, 1, 1–16 (2001)
-
(2001)
Inform. Techn. Econom. Management
, vol.1
, pp. 1-16
-
-
Anh, V.1
Leonenko, N.2
Nguyen, C.3
-
16
-
-
0036254935
-
-
Ayache, A., Leger, S., Pontier M.: Drap brownien fractionnaire. (Fractional Brownian sheet.) Potential Analysis, 17, 31– 43 (2002)
-
(2002)
Drap Brownien Fractionnaire. (Fractional Brownian Sheet.) Potential Analysis
, vol.17
, pp. 31-43
-
-
Ayache, A.1
Leger, S.2
Pontier, M.3
-
17
-
-
0038729467
-
Les ondelettes a la conquite du drap brownien fractionnaire. (Wavelets conquering the fractional Brownian field
-
Ayache, A., Leger, S., Pontier, M.: Les ondelettes a la conquite du drap brownien fractionnaire. (Wavelets conquering the fractional Brownian field.) C. R. Acad. Sci. Paris Sér. I Math., 335, 1063–1068 (2002)
-
(2002)
C. R. Acad. Sci. Paris Sér. I Math.
, vol.335
, pp. 1063-1068
-
-
Ayache, A.1
Leger, S.2
Pontier, M.3
-
18
-
-
3543022938
-
Semi-parametric estimation of the long-range dependence parameter: A survey
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Bardet, J.M., Lang, G., Oppenheim, G., Philippe, A., Stoev, S., Taqqu, M.S.: Semi-parametric estimation of the long-range dependence parameter: a survey. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 557–579 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 557-579
-
-
Bardet, J.M.1
Lang, G.2
Oppenheim, G.3
Philippe, A.4
Stoev, S.5
Taqqu, M.S.6
-
19
-
-
31344439801
-
Multiple fractional integral with Hurst parameter less than 1/2. Stoch
-
Bardina, X., Jolis, M.: Multiple fractional integral with Hurst parameter less than 1/2. Stoch. Proc. Appl., 116, 463–479 (2006)
-
(2006)
Proc. Appl.
, vol.116
, pp. 463-479
-
-
Bardina, X.1
Jolis, M.2
-
21
-
-
33644937071
-
Notes on the two-dimensional fractional Brownian motion
-
Baudoin, F., Nualart, D.: Notes on the two-dimensional fractional Brownian motion. Ann. Prob., 34, 159–180 (2006)
-
(2006)
Ann. Prob.
, vol.34
, pp. 159-180
-
-
Baudoin, F.1
Nualart, D.2
-
23
-
-
11244325403
-
An S-transform approach to integration with respect to a fractional Brownian motion
-
Bender, C.: An S-transform approach to integration with respect to a fractional Brownian motion. Bernoulli, 9, 955–983 (2003)
-
(2003)
Bernoulli
, vol.9
, pp. 955-983
-
-
Bender, C.1
-
24
-
-
0037361234
-
An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter
-
Bender, C.: An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter. Stoch. Proc. Appl., 104, 81–106 (2003)
-
(2003)
Stoch. Proc. Appl.
, vol.104
, pp. 81-106
-
-
Bender, C.1
-
25
-
-
18444405287
-
On the Clark–Ocone theorem for fractional Brownian motions with Hurst parameter bigger than a half
-
Bender, C., Elliott, R.J.: On the Clark–Ocone theorem for fractional Brownian motions with Hurst parameter bigger than a half. Stoch. Stoch. Rep., 75, 391–405 (2003)
-
(2003)
Stoch. Stoch. Rep.
, vol.75
, pp. 391-405
-
-
Bender, C.1
Elliott, R.J.2
-
26
-
-
11244333210
-
Arbitrage in a discrete version of the Wick-fractional Black-Scholes market
-
Bender, C., Elliott, R.J.: Arbitrage in a discrete version of the Wick-fractional Black-Scholes market. Math. Oper. Res., 29, 935–945 (2004)
-
(2004)
Math. Oper. Res.
, vol.29
, pp. 935-945
-
-
Bender, C.1
Elliott, R.J.2
-
27
-
-
85072868748
-
No-arbitrage pricing beyond semimartingales. Preprint, Weierstrass-Institut Ang. Anal. Stoch., No. 1110
-
Bender, C., Sottinen, T., Valkeila, E.: No-arbitrage pricing beyond semimartingales. Preprint, Weierstrass-Institut Ang. Anal. Stoch., No. 1110, Berlin (2006)
-
(2006)
Berlin
-
-
Bender, C.1
Sottinen, T.2
Valkeila, E.3
-
28
-
-
0346433436
-
On arbitrage-free pricing of weather derivatives based on fractional Brownian motion
-
Benth, F.E.: On arbitrage-free pricing of weather derivatives based on fractional Brownian motion. Appl. Math. Finance, 10, 303–324 (2003)
-
(2003)
Appl. Math. Finance
, vol.10
, pp. 303-324
-
-
Benth, F.E.1
-
30
-
-
84968521981
-
Harmonic analysis of local times and sample functions of Gaussian processes
-
Berman, S.M.: Harmonic analysis of local times and sample functions of Gaussian processes. Trans. Amer. Math. Soc., 143, 269– 281 (1969)
-
(1969)
Trans. Amer. Math. Soc.
, vol.143
, pp. 269-281
-
-
Berman, S.M.1
-
31
-
-
0000111128
-
Gaussian processes with stationary increments: Local times and sample function properties
-
Berman, S.M.: Gaussian processes with stationary increments: local times and sample function properties. Ann Math. Stat., 41, 1260–1272 (1970)
-
(1970)
Ann Math. Stat.
, vol.41
, pp. 1260-1272
-
-
Berman, S.M.1
-
32
-
-
33749121194
-
Estimation of the memory parameter by fitting fractionally differenced autoregressive models
-
Bhansali, R.J., Giraitis, L., Kokoszka, P.S.: Estimation of the memory parameter by fitting fractionally differenced autoregressive models. J. Multivariate Anal. 97, 2101–2130 (2006).
-
(2006)
J. Multivariate Anal.
, vol.97
, pp. 2101-2130
-
-
Bhansali, R.J.1
Giraitis, L.2
Kokoszka, P.S.3
-
33
-
-
0036067342
-
A stochastic maximum principle for processes driven by a fractional Brownian motion
-
Biagini, F., Hu, Y., Øksendal, B., Sulem, A.: A stochastic maximum principle for processes driven by a fractional Brownian motion. Stoch. Proc. Appl., 100, 233–254 (2002)
-
(2002)
Stoch. Proc. Appl.
, vol.100
, pp. 233-254
-
-
Biagini, F.1
Hu, Y.2
Øksendal, B.3
Sulem, A.4
-
34
-
-
52149111817
-
-
Springer
-
Biagini, F., Hu, Y., Øksendal, B., Zhang T.: Stochastic Calculus for Fractional Brownian Motion and Applications. Forthcoming. Probability and Its Applications, Springer (2007)
-
(2007)
Stochastic Calculus for Fractional Brownian Motion and Applications. Forthcoming. Probability and Its Applications
-
-
Biagini, F.1
Hu, Y.2
Øksendal, B.3
Zhang, T.4
-
35
-
-
70449464633
-
Minimal variance hedging for fractional Brownian motion
-
Biagini, F., Øksendal, B.: Minimal variance hedging for fractional Brownian motion. Methods Appl. Analysis, 10, 347–362 (2003)
-
(2003)
Methods Appl. Analysis
, vol.10
, pp. 347-362
-
-
Biagini, F.1
Øksendal, B.2
-
36
-
-
85072854039
-
Forward integrals and an Itô formula for fractional Brownian motion
-
Biagini, F., Øksendal, B.: Forward integrals and an Itô formula for fractional Brownian motion. Dept. of Math., University of Oslo, No. 22 (2004)
-
(2004)
Dept. of Math., University of Oslo, No
, pp. 22
-
-
Biagini, F.1
Øksendal, B.2
-
37
-
-
0346199076
-
p-theory of semimartingales
-
p-theory of semimartingales. Ann. Prob., 9, 49–89 (1981)
-
(1981)
Ann. Prob.
, vol.9
, pp. 49-89
-
-
Bichteler, K.1
-
38
-
-
0032489247
-
A review of techniques of estimation in long memory processes: Application to intraday data
-
Bisaglia, L., Guegan, D.: A review of techniques of estimation in long memory processes: application to intraday data. Comp. Stat. Data Analysis, 26, 61–81 (1997)
-
(1997)
Comp. Stat. Data Analysis
, vol.26
, pp. 61-81
-
-
Bisaglia, L.1
Guegan, D.2
-
39
-
-
0032489247
-
A comparison of techniques of estimation in long-memory processes
-
Bisaglia, L., Guegan, D.: A comparison of techniques of estimation in long-memory processes. Comp. Stat. Data Analysis, 27, 61–81 (1998)
-
(1998)
Comp. Stat. Data Analysis
, vol.27
, pp. 61-81
-
-
Bisaglia, L.1
Guegan, D.2
-
40
-
-
17444428635
-
A note on Wick products and the fractional Black–Scholes model
-
Björk, T., Hult, H.: A note on Wick products and the fractional Black–Scholes model. Finance Stoch., 9, 197–209 (2005)
-
(2005)
Finance Stoch
, vol.9
, pp. 197-209
-
-
Björk, T.1
Hult, H.2
-
41
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black, F., Scholes, M.: The pricing of options and corporate liabilities. J. Political Econ., 81, 637–654 (1973)
-
(1973)
J. Political Econ.
, vol.81
, pp. 637-654
-
-
Black, F.1
Scholes, M.2
-
43
-
-
0041328351
-
Weak convergence in Besov spaces to fractional Brownian motion
-
Boufoussi, B., Lakhel, El H.: Weak convergence in Besov spaces to fractional Brownian motion. C. R. Acad. Sci. Paris Sér. I Math., 333, 39–44 (2001)
-
(2001)
C. R. Acad. Sci. Paris Sér. I Math.
, vol.333
, pp. 39-44
-
-
Boufoussi, B.1
Lakhel, E.H.2
-
44
-
-
3042663023
-
On a SDE driven by a fractional Brownian motion and with monotone drift
-
Boufoussi, B., Ouknine, Y.: On a SDE driven by a fractional Brownian motion and with monotone drift. Electronic Comm. Prob., 8, 122–134 (2003)
-
(2003)
Electronic Comm. Prob.
, vol.8
, pp. 122-134
-
-
Boufoussi, B.1
Ouknine, Y.2
-
46
-
-
0013271232
-
Fractional Brownian motion and the Markov property
-
Carmona, P., Coutin, L.: Fractional Brownian motion and the Markov property. Electronic Commun. Prob., 3, 95–107 (1998)
-
(1998)
Electronic Commun. Prob.
, vol.3
, pp. 95-107
-
-
Carmona, P.1
Coutin, L.2
-
47
-
-
0034134632
-
Integrale stochastique pour le mouvement brownien fractionnaire
-
Carmona, P., Coutin, L.: Integrale stochastique pour le mouvement brownien fractionnaire. C. R. Acad. Sci. Paris Sér. I Math., 330, 231–236 (2000)
-
(2000)
C. R. Acad. Sci. Paris Sér. I Math.
, vol.330
, pp. 231-236
-
-
Carmona, P.1
Coutin, L.2
-
48
-
-
0003633141
-
-
Preprint, Université de Toulouse. Laboratoire de Statistique et Probabilités
-
Carmona, P., Coutin, L., Montseny, G.: Applications of a representation of long memory Gaussian processes. Preprint, Université de Toulouse. Laboratoire de Statistique et Probabilités (1998)
-
(1998)
Applications of a Representation of Long Memory Gaussian Processes
-
-
Carmona, P.1
Coutin, L.2
Montseny, G.3
-
49
-
-
0037270163
-
Stochastic integration with respect to fractional Brownian motion
-
Prob. Stat
-
Carmona, P., Coutin, L., Montseny, G.: Stochastic integration with respect to fractional Brownian motion. Ann. Inst. Henri Poincaré, Prob. Stat., 39, 27–68 (2003)
-
(2003)
Ann. Inst. Henri Poincaré
, vol.39
, pp. 27-68
-
-
Carmona, P.1
Coutin, L.2
Montseny, G.3
-
50
-
-
0042676237
-
Mixed fractional Brownian motion
-
Cheridito, P.: Mixed fractional Brownian motion. Bernoulli, 7, 913–934 (2001)
-
(2001)
Bernoulli
, vol.7
, pp. 913-934
-
-
Cheridito, P.1
-
52
-
-
0041674375
-
Fractional Ornstein– Uhlenbeck processes
-
no
-
Cheridito, P., Kawaguchi, H., Maejima, M.: Fractional Ornstein– Uhlenbeck processes. Electronic J. Prob., Paper no. 3, 1–14 (2003)
-
(2003)
Electronic J. Prob., Paper
, Issue.3
, pp. 1-14
-
-
Cheridito, P.1
Kawaguchi, H.2
Maejima, M.3
-
54
-
-
26844554101
-
Stochastic integral of divergence type with respect to the fractional Brownian motion with Hurst parameter H < 1/2
-
Prob. Stat
-
Cheridito, P., Nualart, D.: Stochastic integral of divergence type with respect to the fractional Brownian motion with Hurst parameter H < 1/2. Ann. Inst. Henri Poincaré, Prob. Stat. 41, 1049–1081 (2005)
-
(2005)
Ann. Inst. Henri Poincaré
, vol.41
, pp. 1049-1081
-
-
Cheridito, P.1
Nualart, D.2
-
55
-
-
0010506920
-
Sur les intégrales stochastiques de processus prévisibles non bornées
-
Chou, C.S., Meyer, P.A., Stricker, C.: Sur les intégrales stochastiques de processus prévisibles non bornées. Séminaire Prob. XIV, In: Lect. Notes Math. 784, 128–139 (1980)
-
(1980)
Séminaire Prob. XIV, In: Lect. Notes Math.
, vol.784
, pp. 128-139
-
-
Chou, C.S.1
Meyer, P.A.2
Stricker, C.3
-
57
-
-
0000751909
-
Quelques espaces fouctionnels associes á des processus gaussiens
-
Ciesielski, Z., Kerkyacharian, G., Roynette, B.: Quelques espaces fouctionnels associes á des processus gaussiens. Studia Mat., 107, 171–204 (1993)
-
(1993)
Studia Mat
, vol.107
, pp. 171-204
-
-
Ciesielski, Z.1
Kerkyacharian, G.2
Roynette, B.3
-
58
-
-
58149362594
-
A class of micropulses and antipersistent fractional Brownian motion
-
Cioczek-Georges, R., Mandelbrot, B.: A class of micropulses and antipersistent fractional Brownian motion. Stoch. Proc. Appl., 60, 1–18 (1995)
-
(1995)
Stoch. Proc. Appl.
, vol.60
, pp. 1-18
-
-
Cioczek-Georges, R.1
Mandelbrot, B.2
-
60
-
-
33845455397
-
Power variation of some integral long-memory processes
-
Corcuera, J.M., Nualart, D., Woerner, J..C.: Power variation of some integral long-memory processes. Bernoulli, 12, 713–735 (2006).
-
(2006)
Bernoulli
, vol.12
, pp. 713-735
-
-
Corcuera, J.M.1
Nualart, D.2
Woerner, J.C.3
-
61
-
-
85072853779
-
-
An introduction to (stochastic) calculus with respect to fractional Brownian motion. In: Donati-Martin, C. et al. (eds) Séminaire de Probabilités XL, Lecture Notes in Math. 1899, Springer (2007)
-
[Cou07] Coutin, L.: An introduction to (stochastic) calculus with respect to fractional Brownian motion. In: Donati-Martin, C. et al. (eds) Séminaire de Probabilités XL, Lecture Notes in Math. 1899, Springer (2007)
-
-
-
Coutin, L.1
-
62
-
-
0033260473
-
Abstract nonlinear filtering theory in the presence of fractional Brownian motion
-
Coutin, L., Decreusefond, L.: Abstract nonlinear filtering theory in the presence of fractional Brownian motion. Ann. Appl. Prob., 9, 1058–1090 (1999)
-
(1999)
Ann. Appl. Prob.
, vol.9
, pp. 1058-1090
-
-
Coutin, L.1
Decreusefond, L.2
-
63
-
-
85072858140
-
-
Cruzeiro, Ana Bela et al. (eds), Stochastic Analysis and Mathematical Physics. Birkhäuser, Boston. Prog. Probab. 50, 39–50 (2001)
-
[CD01] Coutin, L., Decreusefond, L.: Stochastic Volterra equations with singular kernels. In: Cruzeiro, Ana Bela et al. (eds), Stochastic Analysis and Mathematical Physics. Birkhäuser, Boston. Prog. Probab. 50, 39–50 (2001)
-
Stochastic Volterra Equations with Singular Kernels
-
-
Coutin, L.1
Decreusefond, L.2
-
64
-
-
0042909263
-
Tanaka formula for the fractional Brownian motion
-
Coutin, L., Nualart, D., Tudor, C.A.: Tanaka formula for the fractional Brownian motion. Stoch. Proc. Appl., 94, 301–315 (2001)
-
(2001)
Stoch. Proc. Appl.
, vol.94
, pp. 301-315
-
-
Coutin, L.1
Nualart, D.2
Tudor, C.A.3
-
65
-
-
18744427246
-
Stochastic differential equations for fractional Brownian motions
-
Coutin, L., Qian, Z.: Stochastic differential equations for fractional Brownian motions. C. R. Acad. Sci. Paris Sér. I Math., 331, 75–80 (2000)
-
(2000)
C. R. Acad. Sci. Paris Sér. I Math.
, vol.331
, pp. 75-80
-
-
Coutin, L.1
Qian, Z.2
-
66
-
-
0036002985
-
Stochastic analysis, rough path analysis and fractional Brownian motion
-
Coutin, L., Qian, Z.: Stochastic analysis, rough path analysis and fractional Brownian motion. Prob. Theory Rel. Fields, 122, 108–140 (2002)
-
(2002)
Prob. Theory Rel. Fields
, vol.122
, pp. 108-140
-
-
Coutin, L.1
Qian, Z.2
-
67
-
-
0011113402
-
Extreme values of derivatives of smoothed fractional Brownian motions
-
Csörgö, S., Mielniczuk, J.: Extreme values of derivatives of smoothed fractional Brownian motions. Prob. Math. Stat., 16, 211–219 (1996)
-
(1996)
Prob. Math. Stat.
, vol.16
, pp. 211-219
-
-
Csörgö, S.1
Mielniczuk, J.2
-
68
-
-
0009040449
-
Stock price returns and the Josef effect: A fractional version of the Black–Scholes model. In: Bolthausen, E., Dozzi, M., Russo, F. (eds) Sem
-
Boston
-
Cutland, N.G., Kopp, P.E., Willinger, W.: Stock price returns and the Josef effect: a fractional version of the Black–Scholes model. In: Bolthausen, E., Dozzi, M., Russo, F. (eds) Sem. Stoch. Anal., Random Fields Appl. Birkhäuser, Boston, 327– 351 (1995)
-
(1995)
Stoch. Anal., Random Fields Appl. Birkhäuser
, pp. 327-351
-
-
Cutland, N.G.1
Kopp, P.E.2
Willinger, W.3
-
69
-
-
53349108011
-
Itô’s formula with respect to fractional Brownian motion and its application
-
Dai, W., Heyde, C.C.: Itô’s formula with respect to fractional Brownian motion and its application. J. Appl. Math. Stoch. Analysis, 9, 439–448 (1996)
-
(1996)
J. Appl. Math. Stoch. Analysis
, vol.9
, pp. 439-448
-
-
Dai, W.1
Heyde, C.C.2
-
73
-
-
33745028960
-
Stochastic integration with respect to fractional Brownian motion
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Decreusefond, L.: Stochastic integration with respect to fractional Brownian motion. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 203–225 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 203-225
-
-
Decreusefond, L.1
-
74
-
-
0002300025
-
Application du calcul des variations stochastiques an mouvement brownien fractionnaire
-
Decreusefond, L., Üstünel, A.S.: Application du calcul des variations stochastiques an mouvement brownien fractionnaire. C. R. Acad. Sci. Paris Sér. I Math., 321, 1605–1608 (1995)
-
(1995)
C. R. Acad. Sci. Paris Sér. I Math.
, vol.321
, pp. 1605-1608
-
-
Decreusefond, L.1
Üstünel, A.S.2
-
75
-
-
0007254668
-
Fractional Brownian motion: Theory and applications
-
Decreusefond, L., Üstünel, A.S.: Fractional Brownian motion: Theory and applications. ESAIM Proc., 5, 75–86 (1998)
-
(1998)
ESAIM Proc
, vol.5
, pp. 75-86
-
-
Decreusefond, L.1
Üstünel, A.S.2
-
76
-
-
0042637937
-
Stochastic analysis of the fractional Brownian motion
-
Decreusefond, L., Üstünel, A.S.: Stochastic analysis of the fractional Brownian motion. Potential Analysis, 10, 177–214 (1999)
-
(1999)
Potential Analysis
, vol.10
, pp. 177-214
-
-
Decreusefond, L.1
Üstünel, A.S.2
-
80
-
-
35648992291
-
Estimation of long-memory in volatility
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Deo, R.S., Hurvich, C.M.: Estimation of long-memory in volatility. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 313–325 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 313-325
-
-
Deo, R.S.1
Hurvich, C.M.2
-
82
-
-
0038056394
-
Models, inequalities and limit theorems for stationary sequences
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Doukhan, P.: Models, inequalities and limit theorems for stationary sequences. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 43–100 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 43-100
-
-
Doukhan, P.1
-
83
-
-
85072866519
-
Non-parametric estimation under long-range dependence
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Doukhan, P., Khezour, A., Lang,G.: Non-parametric estimation under long-range dependence. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 303–313 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 303-313
-
-
Doukhan, P.1
Khezour, A.2
Lang, G.3
-
85
-
-
0001948627
-
Some applications of fractional Brownian motion to linear systems
-
Kluwer Academic Publishers, Boston
-
Duncan, T.E.: Some applications of fractional Brownian motion to linear systems. In: System theory: modeling, analysis, and control. Kluwer Int. Ser. Eng. Comput. Sci, 518, Kluwer Academic Publishers, Boston, 97–105 (2000)
-
(2000)
System Theory: Modeling, Analysis, and Control. Kluwer Int. Ser. Eng. Comput. Sci, 518
, pp. 97-105
-
-
Duncan, T.E.1
-
86
-
-
0035424564
-
Some aspects of fractional Brownian motion
-
Duncan, T.: Some aspects of fractional Brownian motion. Nonlinear Analysis Theory Methods Appl., 47, 4775–4782 (2001)
-
(2001)
Nonlinear Analysis Theory Methods Appl
, vol.47
, pp. 4775-4782
-
-
Duncan, T.1
-
87
-
-
34547557426
-
Some processes associated with a fractional Brownian motion
-
Proc. AMS-IMS-SIAM Conf. Contemporary Mathematics, 351, AMS, Providence, RI, 93–101
-
Duncan, T.: Some processes associated with a fractional Brownian motion. In: Mathematics of Finance. Proc. AMS-IMS-SIAM Conf. Contemporary Mathematics, 351, AMS, Providence, RI, 93–101 (2004)
-
(2004)
Mathematics of Finance
-
-
Duncan, T.1
-
88
-
-
30344478842
-
Prediction for some processes related to a fractional Brownian motion
-
Duncan, T.E.: Prediction for some processes related to a fractional Brownian motion. Stat. Prob. Lett., 76, 128–134 (2006)
-
(2006)
Stat. Prob. Lett.
, vol.76
, pp. 128-134
-
-
Duncan, T.E.1
-
89
-
-
0033878593
-
Stochastic calculus for fractional Brownian motion, I. Theory
-
Duncan, T.E., Hu, Y., Pasik-Duncan, B.: Stochastic calculus for fractional Brownian motion, I. Theory. SIAM J. Control Optimization, 38, 582–612 (2000)
-
(2000)
SIAM J. Control Optimization
, vol.38
, pp. 582-612
-
-
Duncan, T.E.1
Hu, Y.2
Pasik-Duncan, B.3
-
90
-
-
0043071630
-
Fractional Brownian motion and stochastic equations in Hilbert spaces
-
Duncan, T., Pasik-Duncan, B., Maslowski, B.: Fractional Brownian motion and stochastic equations in Hilbert spaces. Stoch. Dyn., 2, 225–250 (2002)
-
(2002)
Stoch. Dyn.
, vol.2
, pp. 225-250
-
-
Duncan, T.1
Pasik-Duncan, B.2
Maslowski, B.3
-
91
-
-
0037111570
-
A frequency domain approach to some results on fractional Brownian motion
-
Dzhaparidze, K., Ferreira, J.A.: A frequency domain approach to some results on fractional Brownian motion. Stat. Prob. Lett., 60, 155–168 (2002)
-
(2002)
Stat. Prob. Lett.
, vol.60
, pp. 155-168
-
-
Dzhaparidze, K.1
Ferreira, J.A.2
-
93
-
-
17044403459
-
Krein’s spectral theory and the Paley-Wiener expansion for fractional Brownian motion
-
Dzhaparidze, K., van Zanten, H.: Krein’s spectral theory and the Paley-Wiener expansion for fractional Brownian motion. Ann. Prob., 33, 620–644 (2005)
-
(2005)
Ann. Prob.
, vol.33
, pp. 620-644
-
-
Dzhaparidze, K.1
van Zanten, H.2
-
94
-
-
38249001859
-
A Hanson-Russo-type law of the iterated logarithm for fractional Brownian motion
-
El-Nouty, Ch.: A Hanson-Russo-type law of the iterated logarithm for fractional Brownian motion. Stat. Prob. Lett. 17, 27–34 (1993)
-
(1993)
Stat. Prob. Lett.
, vol.17
, pp. 27-34
-
-
El-Nouty, C.1
-
95
-
-
70350462519
-
On the large increments of fractional Brownian motion
-
El-Nouty, Ch.: On the large increments of fractional Brownian motion. Stat. Prob. Lett., 41, 169–178 (1999)
-
(1999)
Stat. Prob. Lett.
, vol.41
, pp. 169-178
-
-
El-Nouty, C.1
-
97
-
-
0013018857
-
Fractional Brownian motion and financial modelling
-
Kohlmann, M., Tang, S., Konstanz, Birkhäuser, Basel
-
Elliott, R.J., van der Hoek, J.: Fractional Brownian motion and financial modelling. In: Kohlmann, M., Tang, S. (eds) Proc. Workshop Math. Finance, Konstanz, Birkhäuser, Basel, 140–150 (2001)
-
(2001)
Proc. Workshop Math. Finance
, pp. 140-150
-
-
Elliott, R.J.1
van der Hoek, J.2
-
98
-
-
0141936531
-
A general fractional white noise theory and applications to finance
-
Elliott, R.J., van der Hoek, J.: A general fractional white noise theory and applications to finance. Math. Finance, 13, 301–330 (2003)
-
(2003)
Math. Finance
, vol.13
, pp. 301-330
-
-
Elliott, R.J.1
van der Hoek, J.2
-
99
-
-
84875705143
-
-
Preprint No. 307, Univ.de Barcelona
-
Erraoui, M., Nualart, D., Ouknine, Y.: Hyperbolic stochastic partial differential equations with additive fractional Brownian sheet. Preprint No. 307, Univ.de Barcelona (2002)
-
(2002)
Hyperbolic Stochastic Partial Differential Equations with Additive Fractional Brownian Sheet
-
-
Erraoui, M.1
Nualart, D.2
Ouknine, Y.3
-
100
-
-
34250943351
-
Zur Theorie der Stochastischen Prozesse (Existenzund Eindeutigkeitssatze)
-
Feller, W.: Zur Theorie der Stochastischen Prozesse (Existenzund Eindeutigkeitssatze). Math. Ann., 113, 113–160 (1936)
-
(1936)
Math. Ann.
, vol.113
, pp. 113-160
-
-
Feller, W.1
-
101
-
-
0001783943
-
Regularitè des trajectories de fonctions alèatories gaussiennes
-
Fernique, X.M.: Regularitè des trajectories de fonctions alèatories gaussiennes. In: Lect. Notes Math., 480, 2–95 (1974)
-
(1974)
Lect. Notes Math.
, vol.480
, pp. 2-95
-
-
Fernique, X.M.1
-
102
-
-
0033457813
-
Fractional integrals and Brownian processes
-
Feyel, D., de la Pradelle, A.: Fractional integrals and Brownian processes. Potential Analysis, 10, 273–288 (1999)
-
(1999)
Potential Analysis
, vol.10
, pp. 273-288
-
-
Feyel, D.1
de la Pradelle, A.2
-
103
-
-
10644280652
-
The FBM Itô’s formula through analytic continuation
-
Feyel, D., de la Pradelle, A.: The FBM Itô’s formula through analytic continuation. Electronic J. Prob., paper 26, 1–22 (2001)
-
(2001)
Electronic J. Prob., Paper
, vol.26
, pp. 1-22
-
-
Feyel, D.1
de la Pradelle, A.2
-
104
-
-
0000496512
-
Calcul d’Itô sans probabilités. Séminaire Prob. XV
-
Föllmer H.: Calcul d’Itô sans probabilités. Séminaire Prob. XV, In: Lect. Notes Math. 850, 144–150 (1981)
-
(1981)
Lect. Notes Math
, vol.850
, pp. 144-150
-
-
Föllmer, H.1
-
106
-
-
10644280696
-
On arbitrage and Markovian short rates in fractional bond markets
-
Gapeev, P.: On arbitrage and Markovian short rates in fractional bond markets. Stat. Prob. Lett., 70, 211–222 (2004)
-
(2004)
Stat. Prob. Lett.
, vol.70
, pp. 211-222
-
-
Gapeev, P.1
-
107
-
-
0014886852
-
A real variable lemma and the continuity of paths of some Gaussian processes
-
Garsia, A., Rodemich, E., Rumsey, H.: A real variable lemma and the continuity of paths of some Gaussian processes. Indiana Univ. Math. Journal, 20, 565–578 (1970/71)
-
(1970)
Indiana Univ. Math. Journal
, vol.20
, pp. 565-578
-
-
Garsia, A.1
Rodemich, E.2
Rumsey, H.3
-
108
-
-
0041857892
-
Edgeworth expansions for semiparametric Whittle estimation of long memory
-
Giraitis, L., Robinson, P.M.: Edgeworth expansions for semiparametric Whittle estimation of long memory. Ann. Stat. 31, 1325–1375 (2003)
-
(2003)
Ann. Stat.
, vol.31
, pp. 1325-1375
-
-
Giraitis, L.1
Robinson, P.M.2
-
109
-
-
84879183316
-
Parametric estimation under long– range dependence
-
Doukhan, P., Oppenheim, G., Taqqu M., Boston
-
Giraitis, L., Robinson, P.M.: Parametric estimation under long– range dependence. In: Doukhan, P., Oppenheim, G., Taqqu M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 229–250 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 229-250
-
-
Giraitis, L.1
Robinson, P.M.2
-
110
-
-
85072860367
-
Wick calculus with applications to anticipating stochastic differential equations
-
Gjessing, H.: Wick calculus with applications to anticipating stochastic differential equations. Manuscript, Univ. of Bergen (1994)
-
(1994)
Manuscript, Univ. of Bergen
-
-
Gjessing, H.1
-
111
-
-
0002476167
-
Estimations analytiques concernant le mouvement brownien fractionnaire à plusieurs paramètres. (Analytic estimations concerning a fractional Brownian motion.) (French
-
Goldman, A.: Estimations analytiques concernant le mouvement brownien fractionnaire à plusieurs paramètres. (Analytic estimations concerning a fractional Brownian motion.) (French) C. R. Acad. Sci. Paris Sér. I Math., 298, 91–93 (1984)
-
(1984)
C. R. Acad. Sci. Paris Sér. I Math.
, vol.298
, pp. 91-93
-
-
Goldman, A.1
-
112
-
-
0001468199
-
On convergence to semi-stable Gaussian processes
-
Gorodeckii, V.V.: On convergence to semi-stable Gaussian processes. Theory Prob. Appl. 22, 498–508 (1978)
-
(1978)
Theory Prob. Appl.
, vol.22
, pp. 498-508
-
-
Gorodeckii, V.V.1
-
113
-
-
0346332490
-
Generalized covariations, local time and Stratonovich Itô’s formula for fractional Brownian motion with Hurst index H ≥ 1/4
-
Gradinaru, M., Russo, F., Vallois, P.: Generalized covariations, local time and Stratonovich Itô’s formula for fractional Brownian motion with Hurst index H ≥ 1/4. Ann Prob., 31, 1772–1820 (2003)
-
(2003)
Ann Prob
, vol.31
, pp. 1772-1820
-
-
Gradinaru, M.1
Russo, F.2
Vallois, P.3
-
114
-
-
85072865824
-
-
Table of Integrals, Series, and Products. Academic Press, New York (1980)
-
[GR80] Gradshteyn, I.S.; Ryzhik, I.M.: Table of Integrals, Series, and Products. Academic Press, New York (1980)
-
-
-
Gradshteyn, I.S.1
Ryzhik, I.M.2
-
115
-
-
26444492247
-
Approximation of stochastic differential equations with modified fractional Brownian motion
-
Grecksch, W., Anh, V.: Approximation of stochastic differential equations with modified fractional Brownian motion. Z. Anal. Anwend., 17, 715–727 (1998)
-
(1998)
Z. Anal. Anwend.
, vol.17
, pp. 715-727
-
-
Grecksch, W.1
Anh, V.2
-
116
-
-
84867937600
-
Approximation of stochastic Hammerstein integral equation with fractional Brownian motion input
-
Grecksch, W., Anh, V.: Approximation of stochastic Hammerstein integral equation with fractional Brownian motion input. Monte Carlo Methods Appl., 5, 311–323 (1999)
-
(1999)
Monte Carlo Methods Appl
, vol.5
, Issue.311-323
-
-
Grecksch, W.1
Anh, V.2
-
117
-
-
0033556963
-
A parabolic stochastic differential equation with fractional Brownian motion input
-
Grecksch, W., Anh, V. A parabolic stochastic differential equation with fractional Brownian motion input. Stat. Prob. Lett., 41, 337–346 (1999)
-
(1999)
Stat. Prob. Lett.
, vol.41
, pp. 337-346
-
-
Grecksch, W.1
Anh, V.2
-
118
-
-
0030502739
-
On the prediction of fractional Brownian motion
-
Grippenberg, G., Norros, I.: On the prediction of fractional Brownian motion. J. Appl. Prob., 33, 400–410 (1996)
-
(1996)
J. Appl. Prob.
, vol.33
, pp. 400-410
-
-
Grippenberg, G.1
Norros, I.2
-
119
-
-
10244243741
-
The 1/H-variation of the divergence integral with respect to fractional Brownian motion for H>1/2 and fractional Bessel processes
-
Guerra, J., Nualart, D.: The 1/H-variation of the divergence integral with respect to fractional Brownian motion for H>1/2 and fractional Bessel processes. Stoch. Proc. Appl., 115, 91–115 (2005)
-
(2005)
Stoch. Proc. Appl.
, vol.115
, pp. 91-115
-
-
Guerra, J.1
Nualart, D.2
-
120
-
-
22944439065
-
On recovery of a measure from its symmetrization
-
Gushchin, A.A., Küchler, U.: On recovery of a measure from its symmetrization. Theory Prob. Appl. 49, 323–333 (2005)
-
(2005)
Theory Prob. Appl.
, vol.49
, pp. 323-333
-
-
Gushchin, A.A.1
Küchler, U.2
-
121
-
-
33845399061
-
A characterization of the set-indexed fractional Brownian motion by increasing paths
-
Herbin, E., Merzbach, E.: A characterization of the set-indexed fractional Brownian motion by increasing paths. C. R., Math., Acad. Sci. Paris 343, 767–772 (2006)
-
(2006)
C. R., Math., Acad. Sci. Paris
, vol.343
, pp. 767-772
-
-
Herbin, E.1
Merzbach, E.2
-
122
-
-
33845645826
-
A set-indexed fractional Brownian motion
-
Herbin, E., Merzbach, E.: A set-indexed fractional Brownian motion. J. Theor. Probab. 19, 337–364 (2006)
-
(2006)
J. Theor. Probab.
, vol.19
, pp. 337-364
-
-
Herbin, E.1
Merzbach, E.2
-
124
-
-
84972562211
-
Representation of Gaussian processes equivalent to Wiener process
-
Hitsuda, M.: Representation of Gaussian processes equivalent to Wiener process. Osaka J. Mathematics, 5, 299–312 (1968)
-
(1968)
Osaka J. Mathematics
, vol.5
, pp. 299-312
-
-
Hitsuda, M.1
-
125
-
-
0030295853
-
On central and noncentral limit theorems in density estimation for sequences of long-range dependence
-
Ho, H.-C. On central and noncentral limit theorems in density estimation for sequences of long-range dependence. Stoch. Proc. Appl., 63, 153-174 (1996)
-
(1996)
Stoch. Proc. Appl.
, vol.63
, pp. 153-174
-
-
Ho, H.-C.1
-
126
-
-
34248552042
-
A decomposition for generalized U-statistics of long memory linear processes
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Ho, H.-C., Hsing, T.: A decomposition for generalized U-statistics of long memory linear processes. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 143–156 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 143-156
-
-
Ho, H.-C.1
Hsing, T.2
-
127
-
-
0040820103
-
Quasimean reversion in an efficient stock market: The characterization of economics equilibria which support Black-Scholes option pricing
-
Hodges, S., Carverhill, A.: Quasimean reversion in an efficient stock market: the characterization of economics equilibria which support Black-Scholes option pricing. The Economic J., 103, 395-405 (1993)
-
(1993)
The Economic J
, vol.103
, pp. 395-405
-
-
Hodges, S.1
Carverhill, A.2
-
128
-
-
0003419903
-
-
Boston
-
Holden, H., Øksendal, B., Ubøe, J., Zhang, T.: Stochastic Partial Differential Equations. Birkhäuser, Boston (1996)
-
(1996)
Stochastic Partial Differential Equations. Birkhäuser
-
-
Holden, H.1
Øksendal, B.2
Ubøe, J.3
Zhang, T.4
-
129
-
-
18144416186
-
Integral tranformations and anticipative calculus for fractional Brownian motions
-
Hu, Y.: Integral tranformations and anticipative calculus for fractional Brownian motions. Mem. Amer. Math. Soc., 175 (2005)
-
(2005)
Mem. Amer. Math. Soc.
, vol.175
-
-
Hu, Y.1
-
132
-
-
0036039830
-
Chaos expansion of local time of fractional Brownian motions
-
Hu, Y., Øksendal, B.: Chaos expansion of local time of fractional Brownian motions. Stoch. Anal. Appl., 20, 815–837 (2002)
-
(2002)
Stoch. Anal. Appl.
, vol.20
, pp. 815-837
-
-
Hu, Y.1
Øksendal, B.2
-
134
-
-
15244355622
-
M.: Weighted local time for fractional Brownian motion and applications to finance
-
Hu, Y., Øksendal, B., Salopek, D., M.: Weighted local time for fractional Brownian motion and applications to finance. Stochastic Anal. Appl., 23, 15–30 (2005)
-
(2005)
Stochastic Anal. Appl.
, vol.23
, pp. 15-30
-
-
Hu, Y.1
Øksendal, B.2
Salopek, D.3
-
135
-
-
0347002468
-
Optimal portfolio in a fractional Black and Scholes market
-
Hu, Y., Øksendal, B., Sulem, A.: Optimal portfolio in a fractional Black and Scholes market. Infin. Dimens. Anal. Quantum Probab. Relat. Top. 6, 519–536 (2003)
-
(2003)
Infin. Dimens. Anal. Quantum Probab. Relat. Top.
, vol.6
, pp. 519-536
-
-
Hu, Y.1
Øksendal, B.2
Sulem, A.3
-
136
-
-
0038135003
-
Stochastic and multiple Wiener integrals for Gaussian processes
-
Huang, S.T., Cambanis, S.: Stochastic and multiple Wiener integrals for Gaussian processes. Ann. Prob. 6, 585–614 (1978)
-
(1978)
Ann. Prob.
, vol.6
, pp. 585-614
-
-
Huang, S.T.1
Cambanis, S.2
-
137
-
-
0000759022
-
Long-term storage capacity in reservoirs
-
Hurst, H.E.: Long-term storage capacity in reservoirs. Trans. Amer Soc. Civil. Eng., 116, 400–410 (1951)
-
(1951)
Trans. Amer Soc. Civil. Eng.
, vol.116
, pp. 400-410
-
-
Hurst, H.E.1
-
138
-
-
0003892928
-
-
An Experimental Study. Constable, London
-
Hurst, H.E., Black, R.P., Simaika, Y.M.: Long Term Storage in Reservoirs. An Experimental Study. Constable, London (1965)
-
(1965)
Long Term Storage in Reservoirs
-
-
Hurst, H.E.1
Black, R.P.2
Simaika, Y.M.3
-
139
-
-
8544219756
-
Limit theorem for maximum of the storage process with fractional Brownian motion input
-
Hüsler, J., Piterbarg, V.: Limit theorem for maximum of the storage process with fractional Brownian motion input. Stoch. Proc. Appl., 114, 231–250 (2004)
-
(2004)
Stoch. Proc. Appl.
, vol.114
, pp. 231-250
-
-
Hüsler, J.1
Piterbarg, V.2
-
140
-
-
4544382418
-
On the ruin probability for physical fractional Brownian motion
-
Hüsler, J., Piterbarg, V.: On the ruin probability for physical fractional Brownian motion. Stoch. Proc. Appl., 113, 315–332 (2004)
-
(2004)
Stoch. Proc. Appl.
, vol.113
, pp. 315-332
-
-
Hüsler, J.1
Piterbarg, V.2
-
142
-
-
0033471974
-
Bilinear stochastic systems with fractional Brownian motion input
-
Iglói, E., Terdik, Gy.: Bilinear stochastic systems with fractional Brownian motion input. Ann Appl. Prob., 9, 46–77 (1999)
-
(1999)
Ann Appl. Prob.
, vol.9
, pp. 46-77
-
-
Iglói, E.1
Terdik, G.2
-
143
-
-
33645694358
-
Linear filtering of systems with memory and application to finance
-
Inoue, A., Nakano, Y., Anh, V.: Linear filtering of systems with memory and application to finance. Journal of Appl. Math. and Stoch. Anal., 2006, 1–26 (2006)
-
(2006)
Journal of Appl. Math. and Stoch. Anal.
, vol.2006
, pp. 1-26
-
-
Inoue, A.1
Nakano, Y.2
Anh, V.3
-
144
-
-
33846869954
-
Optimal long term investment model with memory
-
Inoue, A., Nakano, Y.: Optimal long term investment model with memory. Appl. Math. Optimization, 55, 93–122 (2007).
-
(2007)
Appl. Math. Optimization
, vol.55
, pp. 93-122
-
-
Inoue, A.1
Nakano, Y.2
-
145
-
-
33751513064
-
Binary market models with memory
-
Inoue, A., Nakano, Y., Anh, V.: Binary market models with memory. Stat. Prob. Lett., 77, 256–264 (2007).
-
(2007)
Stat. Prob. Lett.
, vol.77
, pp. 256-264
-
-
Inoue, A.1
Nakano, Y.2
Anh, V.3
-
146
-
-
0040361170
-
Differential equations determining Markov processes
-
Itô, K.: Differential equations determining Markov processes. Zenkoku Shijo Sugaku Danwakai, 244, 1352–1400 (1942)
-
(1942)
Zenkoku Shijo Sugaku Danwakai
, vol.244
, pp. 1352-1400
-
-
Itô, K.1
-
147
-
-
0001455484
-
Stochastic integral
-
Itô, K.: Stochastic integral. Proc. Imp. Acad. Tokyo, 20, 519– 524 (1944)
-
(1944)
Proc. Imp. Acad. Tokyo
, vol.20
, pp. 519-524
-
-
Itô, K.1
-
148
-
-
0001739440
-
Stochastic differential equations. Memoirs of the Amer
-
Itô, K.: Stochastic differential equations. Memoirs of the Amer. Math. Soc. 4 (1951)
-
(1951)
Math. Soc
, pp. 4
-
-
Itô, K.1
-
152
-
-
33748743623
-
Transformation formulas for fractional Brownian motion
-
Jost, C.: Transformation formulas for fractional Brownian motion. Stoch. proc. Appl., 116, 1341–1357 (2006)
-
(2006)
Stoch. Proc. Appl.
, vol.116
, pp. 1341-1357
-
-
Jost, C.1
-
153
-
-
84950955560
-
Stochastic differential equations with fractional Brownian motion input
-
Jumarie, G.: Stochastic differential equations with fractional Brownian motion input. Int. J. Syst. Sci., 24, 1113–1131 (1993)
-
(1993)
Int. J. Syst. Sci.
, vol.24
, pp. 1113-1131
-
-
Jumarie, G.1
-
154
-
-
0000176104
-
On the fractional anisotropic Wiener field
-
Kamont, A.: On the fractional anisotropic Wiener field. Prob. Math. Stat., 16, 85–98 (1996)
-
(1996)
Prob. Math. Stat.
, vol.16
, pp. 85-98
-
-
Kamont, A.1
-
156
-
-
0031574850
-
A limit theorem for occupation times of fractional Brownian motion
-
Kasahara, Y., Kosugi, N.: A limit theorem for occupation times of fractional Brownian motion. Stoch. Proc. Appl., 67, 161–175 (1997)
-
(1997)
Stoch. Proc. Appl.
, vol.67
, pp. 161-175
-
-
Kasahara, Y.1
Kosugi, N.2
-
157
-
-
0030327743
-
On Kallianpur-Robbins law for fractional Brownian motion
-
Kasahara, Y., Matsumoto, Y.: On Kallianpur-Robbins law for fractional Brownian motion. J. Math. Kyoto Univ., 36, 815–824 (1996)
-
(1996)
J. Math. Kyoto Univ.
, vol.36
, pp. 815-824
-
-
Kasahara, Y.1
Matsumoto, Y.2
-
158
-
-
0033417010
-
A note of the local time of fractional brownian motion
-
Kasahara, Y., Ogawa, N.: A note of the local time of fractional brownian motion. J. Theor. Prob., 12, 207–216 (1999)
-
(1999)
J. Theor. Prob.
, vol.12
, pp. 207-216
-
-
Kasahara, Y.1
Ogawa, N.2
-
159
-
-
0041117400
-
On the variation of Gaussian processes
-
Prob. Theory, Lect. Notes Math., 330, 176–192
-
Kawada, T., Kôno, N.: On the variation of Gaussian processes. In: Proc. 2nd Japan–USSR Symp. Prob. Theory, Lect. Notes Math., 330, 176–192 (1973)
-
(1973)
Proc. 2Nd Japan–USSR Symp.
-
-
Kawada, T.1
Kôno, N.2
-
160
-
-
0008562738
-
Existence and uniqueness theorems for stochastic differential equations with fractional Brownian motion
-
Kleptsyna, M.L., Kloeden, P.E., Anh, V.V.: Existence and uniqueness theorems for stochastic differential equations with fractional Brownian motion. Probl. Inf. Transm. 34, 54–56 (1998)
-
(1998)
Probl. Inf. Transm.
, vol.34
, pp. 54-56
-
-
Kleptsyna, M.L.1
Kloeden, P.E.2
Anh, V.V.3
-
161
-
-
85072857739
-
Nonlinear filtering with fractional Brownian motion
-
Kleptsyna, M., Kloeden, P., Anh, V.: Nonlinear filtering with fractional Brownian motion. Probl. Inf. Transm., 34, 150–160 (1998)
-
(1998)
Probl. Inf. Transm.
, vol.34
, pp. 150-160
-
-
Kleptsyna, M.1
Kloeden, P.2
Anh, V.3
-
162
-
-
8344246540
-
Extension of the Kalman–Bucy filter to elementary linear systems with fractional Brownian noises
-
Kleptsyna, M.L., Le Breton, A.: Extension of the Kalman–Bucy filter to elementary linear systems with fractional Brownian noises. Stat. Infer. Stoch. Proc., 5, 249–271 (2002)
-
(2002)
Stat. Infer. Stoch. Proc.
, vol.5
, pp. 249-271
-
-
Kleptsyna, M.L.1
Le Breton, A.2
-
163
-
-
8344246540
-
Statistical analysis of the fractional Ornstein–Uhlenbeck type process
-
Kleptsyna, M.L., Le Breton, A.: Statistical analysis of the fractional Ornstein–Uhlenbeck type process. Stat. Infer. Stoch. Proc., 5, 229-248 (2002)
-
(2002)
Stat. Infer. Stoch. Proc.
, vol.5
, pp. 229-248
-
-
Kleptsyna, M.L.1
Le Breton, A.2
-
164
-
-
0002054850
-
An elementary approach to filtering in systems with fractional Brownian observation noise
-
Grigelionis B
-
Kleptsyna, M.L., Le Breton, A., Roubaud, M.C.: An elementary approach to filtering in systems with fractional Brownian observation noise. In: Grigelionis B. (ed) Prob. Theory Math. Stat. (Proc. 7th Vilnius Conf.), TEV, Vilnius, 373–392 (1999)
-
(1999)
Prob. Theory Math. Stat. (Proc. 7Th Vilnius Conf.), TEV, Vilnius
, pp. 373-392
-
-
Kleptsyna, M.L.1
Le Breton, A.2
Roubaud, M.C.3
-
165
-
-
0141856377
-
General approach to filtering with fractional Brownian noises – application to linear systems
-
Kleptsyna, M.L., Le Breton, A., Roubaud, M.C.: General approach to filtering with fractional Brownian noises – application to linear systems. Stoch. Stoch. Rep., 71, 119–140 (2000)
-
(2000)
Stoch. Stoch. Rep.
, vol.71
, pp. 119-140
-
-
M.L, K.1
Le Breton, A.2
Roubaud, M.C.3
-
167
-
-
22644449415
-
Ordinary differential equations with fractal noise
-
Klingenhöfer, F., Zähle, M.: Ordinary differential equations with fractal noise. Proc. Amer. Math. Soc., 127, 1021–1028 (1999)
-
(1999)
Proc. Amer. Math. Soc.
, vol.127
, pp. 1021-1028
-
-
Klingenhöfer, F.1
Zähle, M.2
-
169
-
-
4544374045
-
Fractional Brownian motion as a weak limit of Poisson shot noise processes – with applications to finance
-
Klüppelberg, C., Kühn, Ch.: Fractional Brownian motion as a weak limit of Poisson shot noise processes – with applications to finance. Stoch. Proc. Appl., 113, 333–351 (2004)
-
(2004)
Stoch. Proc. Appl.
, vol.113
, pp. 333-351
-
-
Klüppelberg, C.1
Kühn, C.2
-
171
-
-
0000189685
-
Über die analytischen Methodenin der Wahrscheinlichkeitsrechnung
-
Kolmogoroff, A.N.: Über die analytischen Methodenin der Wahrscheinlichkeitsrechnung. Math. Annalen, 104, 415–458 (1931)
-
(1931)
Math. Annalen
, vol.104
, pp. 415-458
-
-
Kolmogoroff, A.1
-
172
-
-
0001187166
-
The Wiener spiral and some other interesting curves in Hilbert space
-
Kolmogorov, A.N.: The Wiener spiral and some other interesting curves in Hilbert space. Dokl. Akad. Nauk SSSR, 26, 115–118 (1940)
-
(1940)
Dokl. Akad. Nauk SSSR
, vol.26
, pp. 115-118
-
-
Kolmogorov, A.N.1
-
173
-
-
0002305466
-
Sur l’intégrale de Stieltjes
-
Kondurar, V.: Sur l’intégrale de Stieltjes. Recueil Math., 2, 361– 366 (1937)
-
(1937)
Recueil Math
, vol.2
, pp. 361-366
-
-
Kondurar, V.1
-
176
-
-
67349265405
-
Robust estimation in regressian models with long-memory errors
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Koul, H.I., Surgailis,D.: Robust estimation in regressian models with long-memory errors. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 339–355 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 339-355
-
-
Koul, H.I.1
Surgailis, D.2
-
177
-
-
84992318734
-
An estimate for the multiparameter fractional Brownian motion
-
Kozachenko, Y.V., Kurchenko, O.O.: An estimate for the multiparameter fractional Brownian motion. Theory Stoch. Proc., 5 (21), 113–119 (1999)
-
(1999)
Theory Stoch. Proc.
, vol.5
, Issue.21
, pp. 113-119
-
-
Kozachenko, Y.V.1
Kurchenko, O.O.2
-
178
-
-
85072862988
-
Maximal upper bounds of moments of stochastic integrals and the solutions of stochastic differential equations involving fractional Brownian motion with Hurst index H < 1/2. I (Ukrain.) Prob
-
Kozachenko, Y.V., Mishura Y.S.: Maximal upper bounds of moments of stochastic integrals and the solutions of stochastic differential equations involving fractional Brownian motion with Hurst index H < 1/2. I (Ukrain.) Prob. Theory Math. Stat., 75, 47–59 (2006)
-
(2006)
Theory Math. Stat.
, vol.75
, pp. 47-59
-
-
Kozachenko, Y.V.1
Mishura, Y.S.2
-
179
-
-
85072869028
-
Maximal upper bounds of moments of stochastic integrals and the solutions of stochastic differential equations involving fractional Brownian motion with Hurst index H<1/2. II (Ukrain.) Prob
-
Kozachenko, Y.V., Mishura Y.S.: Maximal upper bounds of moments of stochastic integrals and the solutions of stochastic differential equations involving fractional Brownian motion with Hurst index H<1/2. II (Ukrain.) Prob. Theory Math. Stat., 76, 53–69 (2007)
-
(2007)
Theory Math. Stat.
, vol.76
, pp. 53-69
-
-
Kozachenko, Y.V.1
Mishura, Y.S.2
-
180
-
-
85072856923
-
The stochastic Fubini theorem for integrals containing random integrand and fractional Brownian motion as integrator
-
Krvavych,Y., Mishura,Y.: The stochastic Fubini theorem for integrals containing random integrand and fractional Brownian motion as integrator. Theory Stoch. Proc., 6 (22), 79–89 (2000)
-
(2000)
Theory Stoch. Proc.
, vol.6
, Issue.22
, pp. 79-89
-
-
Krvavych, Y.1
Mishura, Y.2
-
181
-
-
18244390727
-
Statistical inference with fractional Brownian motion
-
Kukush, A., Mishura, Y., Valkeila, E. Statistical inference with fractional Brownian motion. Stat. Infer. Stoch. Proc., 8, 71–93 (2005)
-
(2005)
Stat. Infer. Stoch. Proc.
, vol.8
, pp. 71-93
-
-
Kukush, A.1
Mishura, Y.2
Valkeila, E.3
-
182
-
-
0033275496
-
The absence of arbitrage in a model with fractal Brownian motion
-
Kuznetsov, Yu.A.: The absence of arbitrage in a model with fractal Brownian motion. Russ. Math. Surv., 54, 847–848 (1999)
-
(1999)
Russ. Math. Surv.
, vol.54
, pp. 847-848
-
-
Kuznetsov, Y.A.1
-
183
-
-
3042655532
-
Smoothness of the law of the supremum of the fractional Brownian motion
-
Lanjri, Z.N., Nualart, D.: Smoothness of the law of the supremum of the fractional Brownian motion. Electron. Commun. Prob., 8, 102–111 (2003)
-
(2003)
Electron. Commun. Prob.
, vol.8
, pp. 102-111
-
-
Lanjri, Z.N.1
Nualart, D.2
-
184
-
-
0041880917
-
0-valued random measures
-
0-valued random measures. Theory Prob. Appl., 40, 313–323 (1995)
-
(1995)
Theory Prob. Appl.
, vol.40
, pp. 313-323
-
-
Lebedev, V.A.1
-
185
-
-
0032525495
-
Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion
-
Le Breton, A.: Filtering and parameter estimation in a simple linear system driven by a fractional Brownian motion. Stat. Prob. Lett., 38, 263–274 (1998)
-
(1998)
Stat. Prob. Lett.
, vol.38
, pp. 263-274
-
-
Le Breton, A.1
-
186
-
-
17744417083
-
Semilinear fractional stochastic differential equations
-
León, J.A., Tudor, C.: Semilinear fractional stochastic differential equations. Bol. Soc. Mat. Mexicana, 8, 205–226 (2002)
-
(2002)
Bol. Soc. Mat. Mexicana
, vol.8
, pp. 205-226
-
-
León, J.A.1
Tudor, C.2
-
187
-
-
70350707349
-
Estimating the diffusion coefficient for diffusions driven by fBm
-
León, J.R., Ludeña, C.: Estimating the diffusion coefficient for diffusions driven by fBm. Stat. Inference Stoch. Process., 3, 183– 192 (2000).
-
(2000)
Stat. Inference Stoch. Process.
, vol.3
, pp. 183-192
-
-
León, J.R.1
Ludeña, C.2
-
188
-
-
0029209094
-
On estimating the spectral exponent of fractional Brownian motion
-
Leu, J.-S., Papamarcou, A.: On estimating the spectral exponent of fractional Brownian motion. IEEE Trans. Inf. Theory, 41, 233–244 (1995)
-
(1995)
IEEE Trans. Inf. Theory
, vol.41
, pp. 233-244
-
-
Leu, J.-S.1
Papamarcou, A.2
-
189
-
-
85072862642
-
Processus stochastiques et mouvement Brownien. Gauthier–Villars
-
Lévy, P.: Processus stochastiques et mouvement Brownien. Gauthier–Villars, Paris (1948) Second edition (1965)
-
(1965)
Paris (1948) Second Edition
-
-
Lévy, P.1
-
190
-
-
85072860260
-
Gaussian Random Functions (Russian)
-
Lifshitz, M.A.: Gaussian Random Functions (Russian). TViMS, Kiev (1995)
-
(1995)
Tvims, Kiev
-
-
Lifshitz, M.A.1
-
191
-
-
0000746261
-
Stochastic analysis of fractional Brownian motions
-
Lin, S.J.: Stochastic analysis of fractional Brownian motions. Stoch. Stoch. Rep., 55, 121–140 (1995)
-
(1995)
Stoch. Stoch. Rep.
, vol.55
, pp. 121-140
-
-
Lin, S.J.1
-
192
-
-
0002573194
-
Fractional Brownian fields as integrals of white noise
-
Lindstrøm, T.: Fractional Brownian fields as integrals of white noise. Bull. London Math. Soc., 25, 83–88 (1993)
-
(1993)
Bull. London Math. Soc.
, vol.25
, pp. 83-88
-
-
Lindstrøm, T.1
-
195
-
-
0000140166
-
Long-term memory in stock market prices
-
Lo, A.W.: Long-term memory in stock market prices. Econometrica 59, 1279–1313 (1991)
-
(1991)
Econometrica
, vol.59
, pp. 1279-1313
-
-
Lo, A.W.1
-
196
-
-
0010802025
-
Time rescaling and Gaussian properties of the fractional Brownian motions
-
Maccone, C.: Time rescaling and Gaussian properties of the fractional Brownian motions. Nuovo Cimento B (11), 65, 259–271 (1981)
-
(1981)
Nuovo Cimento B
, vol.65
, Issue.11
, pp. 259-271
-
-
Maccone, C.1
-
197
-
-
51249185708
-
Eigenfunction expansion for fractional Brownian motions
-
Maccone, C.: Eigenfunction expansion for fractional Brownian motions. Nuovo Cimento B (11), 61, 229–248 (1981)
-
(1981)
Nuovo Cimento B
, vol.61
, Issue.11
, pp. 229-248
-
-
Maccone, C.1
-
198
-
-
84890665306
-
-
In: Philips, P.C.B. (eds) Models, Methods, and Applications of Econometrics. Basil Blackwell (1993)
-
[MS93] Maheswaran, S., Sims, C.A.: Empirical implications of arbitragefree asset markets. In: Philips, P.C.B. (eds) Models, Methods, and Applications of Econometrics. Basil Blackwell (1993)
-
Empirical Implications of Arbitragefree Asset Markets
-
-
Maheswaran, S.1
Sims, C.A.2
-
199
-
-
67349138818
-
Limit theorems for infinite variance sequences
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Maejima, M.: Limit theorems for infinite variance sequences. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 157–164 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 157-164
-
-
Maejima, M.1
-
202
-
-
0000501589
-
Fractional Brownian motions, fractional noices and applications
-
Mandelbrot, B.B., van Ness J.W.: Fractional Brownian motions, fractional noices and applications. SIAM Review, 10, 422–437 (1968)
-
(1968)
SIAM Review
, vol.10
, pp. 422-437
-
-
Mandelbrot, B.B.1
van Ness, J.W.2
-
203
-
-
0042229456
-
Evolution equations driven by a fractional Brownian motion
-
Maslowski, B., Nualart, D.: Evolution equations driven by a fractional Brownian motion. J. Funct. Anal., 202, 277–305 (2003)
-
(2003)
J. Funct. Anal.
, vol.202
, pp. 277-305
-
-
Maslowski, B.1
Nualart, D.2
-
204
-
-
0027147153
-
The wavelet transform of stochastic processes with stationary increments and its application to fractional Brownian motion
-
Masry, E.: The wavelet transform of stochastic processes with stationary increments and its application to fractional Brownian motion. IEEE Trans. Inf. Theory, 39, 260–264 (1993)
-
(1993)
IEEE Trans. Inf. Theory
, vol.39
, pp. 260-264
-
-
Masry, E.1
-
205
-
-
0041457570
-
Convergence properties of wavelet series expansions of fractional Brownian motion
-
Masry, E.: Convergence properties of wavelet series expansions of fractional Brownian motion. Appl. Comput. Harmon. Analysis, 3, 239–253 (1996)
-
(1996)
Appl. Comput. Harmon. Analysis
, vol.3
, pp. 239-253
-
-
Masry, E.1
-
206
-
-
0033236712
-
Large buffer asymptotics for the queue with FBM input
-
Massoulie, L., Simonian, A.: Large buffer asymptotics for the queue with FBM input. J. Appl. Probab. 36, 894–906 (1999).
-
(1999)
J. Appl. Probab.
, vol.36
, pp. 894-906
-
-
Massoulie, L.1
Simonian, A.2
-
207
-
-
18044400859
-
Inequalities for the moments of Wiener integrals with respect to fractional Brownian motions
-
Memin, J., Mishura, Yu., Valkeila, E.: Inequalities for the moments of Wiener integrals with respect to fractional Brownian motions. Stat. Prob. Lett., 51, 197–206 (2001)
-
(2001)
Stat. Prob. Lett.
, vol.51
, pp. 197-206
-
-
Memin, J.1
Mishura, Y.2
Valkeila, E.3
-
209
-
-
0001339314
-
Un cours sur les intégrales stochastiques. Séminaire Prob. X
-
Meyer, P.A.: Un cours sur les intégrales stochastiques. Séminaire Prob. X, In: Lect. Notes Math., 511, 246–400 (1976)
-
(1976)
Lect. Notes Math.
, vol.511
, pp. 246-400
-
-
Meyer, P.A.1
-
210
-
-
0013336217
-
Stochastic integral equations without probability
-
Mikosch, T., Norvaiša, R.: Stochastic integral equations without probability. Bernoulli, 6, 401–434 (2000)
-
(2000)
Bernoulli
, vol.6
, pp. 401-434
-
-
Mikosch, T.1
Norvaiša, R.2
-
211
-
-
85072856379
-
Quasilinear stochastic differential equations with fractional-Brownian component
-
Mishura, Yu.: Quasilinear stochastic differential equations with fractional-Brownian component. Prob. Theory Math. Stat., 68, 95–106 (2003)
-
(2003)
Prob. Theory Math. Stat.
, vol.68
, pp. 95-106
-
-
Mishura, Y.1
-
212
-
-
45549084628
-
Fractional stochastic integration and BlackScholes equation for fractional Brownian motion with stochastic volatility
-
Mishura, Yu.: Fractional stochastic integration and BlackScholes equation for fractional Brownian motion with stochastic volatility. Stoch. Stoch. Rep., 76, 363–381 (2004)
-
(2004)
Stoch. Stoch. Rep.
, vol.76
, pp. 363-381
-
-
Mishura, Y.1
-
213
-
-
85009783293
-
An estimate of ruin probabilities for the long range dependence models
-
Mishura, Yu.: An estimate of ruin probabilities for the long range dependence models. Prob. Theory Math. Stat., 72, 93– 100 (2005)
-
(2005)
Prob. Theory Math. Stat.
, vol.72
, pp. 93-100
-
-
Mishura, Y.1
-
214
-
-
85072869824
-
Itô formula for fractional Brownian fields
-
Mishura, Yu., Ilchenko S.: Itô formula for fractional Brownian fields. Prob. Theory Math. Stat., 69, 141–153 (2003)
-
(2003)
Prob. Theory Math. Stat.
, vol.69
, pp. 141-153
-
-
Mishura, Y.1
Ilchenko, S.2
-
215
-
-
24044439732
-
Generalized two-parameter Lebesgue– Stieltjes integrals and their applications to fractional Brownian fields
-
Mishura, Yu., Ilchenko S.: Generalized two-parameter Lebesgue– Stieltjes integrals and their applications to fractional Brownian fields. Ukr. Math. J.,56, 435–450 (2004)
-
(2004)
Ukr. Math. J.
, vol.56
, Issue.435-450
-
-
Mishura, Y.1
Ilchenko, S.2
-
216
-
-
85072869977
-
Stochastic integrals and stochastic differential equations involving fractional Brownian field. Theory Prob
-
Mishura, Yu., Ilchenko S.: Stochastic integrals and stochastic differential equations involving fractional Brownian field. Theory Prob. Math. Stat., 75, 85–101 (2006)
-
(2006)
Math. Stat.
, vol.75
, pp. 85-101
-
-
Mishura, Y.1
Ilchenko, S.2
-
217
-
-
22944478320
-
Weak solutions for stochastic differential equations with additive fractional noise
-
Mishura, Y., Nualart, D.: Weak solutions for stochastic differential equations with additive fractional noise. Stat. Prob. Lett., 70, 253–261 (2004)
-
(2004)
Stat. Prob. Lett.
, vol.70
, pp. 253-261
-
-
Mishura, Y.1
Nualart, D.2
-
218
-
-
84865029104
-
Existence and uniquenes of solution of mixed stochastic differential equation driven by fractional Brownian motion and Wiener process
-
Mishura, Yu., Posashkov S.: Existence and uniquenes of solution of mixed stochastic differential equation driven by fractional Brownian motion and Wiener process. Theory Stoch. Proc., 13(29), 152–165 (2007)
-
(2007)
Theory Stoch. Proc.
, vol.13
, Issue.29
, pp. 152-165
-
-
Mishura, Y.1
Posashkov, S.2
-
219
-
-
85009767952
-
Consistency of drift parameter estimates in fractional-Brownian diffusion models
-
Mishura, Yu., Rudomino-Dusyatska, N.: Consistency of drift parameter estimates in fractional-Brownian diffusion models. Theory Stoch. Proc., 7(23), 103–112 (2001)
-
(2001)
Theory Stoch. Proc.
, vol.7
, Issue.23
, pp. 103-112
-
-
Mishura, Y.1
Rudomino-Dusyatska, N.2
-
221
-
-
84884381325
-
On differentiability of solution to stochastic differential equation with fractional Brownian motion
-
Mishura, Yu., Shevchenko G.M.: On differentiability of solution to stochastic differential equation with fractional Brownian motion. Theory Stoch. Proc., 13(29), 243–250 (2007)
-
(2007)
Theory Stoch. Proc.
, vol.13
, Issue.29
, pp. 243-250
-
-
Mishura, Y.1
Shevchenko, G.M.2
-
222
-
-
0034560833
-
An isometric approach to generalized stochastic integrals
-
Mishura, Yu., Valkeila, E.: An isometric approach to generalized stochastic integrals. J. Theor. Prob., 13, 673–693 (2000)
-
(2000)
J. Theor. Prob.
, vol.13
, pp. 673-693
-
-
Mishura, Y.1
Valkeila, E.2
-
223
-
-
70350571015
-
The absence of arbitrage in a mixed Brownian-fractional Brownian model
-
Mishura, Yu. S., Valkeila E.: The absence of arbitrage in a mixed Brownian-fractional Brownian model. Proc. of the Steklov Institute of Math., 237, 215–224 (2002)
-
(2002)
Proc. of the Steklov Institute of Math.
, vol.237
, pp. 215-224
-
-
Mishura, Y.S.1
Valkeila, E.2
-
225
-
-
0000100522
-
Gaussian processes with spectra which are asymptotically equivalent to a power of λ
-
Molchan, G.: Gaussian processes with spectra which are asymptotically equivalent to a power of λ. Theory Prob. Appl. 14, 530–532 (1969)
-
(1969)
Theory Prob. Appl.
, vol.14
, pp. 530-532
-
-
Molchan, G.1
-
226
-
-
27644478786
-
Historical comments related to fractional Brownian motion
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Molchan, G.: Historical comments related to fractional Brownian motion. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 39–42 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 39-42
-
-
Molchan, G.1
-
227
-
-
0001092940
-
Gaussian stationary processes with asymptotic power spectrum
-
Molchan, G., Golosov, J.: Gaussian stationary processes with asymptotic power spectrum. Soviet Math. Dokl. 10, 134–137 (1969)
-
(1969)
Soviet Math. Dokl.
, vol.10
, pp. 134-137
-
-
Molchan, G.1
Golosov, J.2
-
229
-
-
15844403742
-
Semi-parametric spectral estimation for fractional processes
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Moulines, E., Soulier, P.: Semi-parametric spectral estimation for fractional processes. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 251–301 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 251-301
-
-
Moulines, E.1
Soulier, P.2
-
230
-
-
85072872030
-
A fractional Brownian motion and the canonical representations of its coefficient processes
-
Muraoka, H.: A fractional Brownian motion and the canonical representations of its coefficient processes. Soochow J. Math., 18, 361–377 (1992)
-
(1992)
Soochow J. Math.
, vol.18
, pp. 361-377
-
-
Muraoka, H.1
-
231
-
-
0002523391
-
Exact asymptotic queue length distribution for fractional Brownian traffic
-
Narayan, O.: Exact asymptotic queue length distribution for fractional Brownian traffic. Adv. Perform. Analysis, 1, 39–63 (1998)
-
(1998)
Adv. Perform. Analysis
, vol.1
, pp. 39-63
-
-
Narayan, O.1
-
233
-
-
4944232706
-
Fractional Brownian motion and martingaledifferences
-
Nieminen, A.: Fractional Brownian motion and martingaledifferences. Stat. Prob. Lett., 70, 1–10 (2004)
-
(2004)
Stat. Prob. Lett.
, vol.70
, pp. 1-10
-
-
Nieminen, A.1
-
234
-
-
0029358766
-
On the use of the fractional Brownian motion in the theory of connectionless networks
-
Norros, I.: On the use of the fractional Brownian motion in the theory of connectionless networks. IEEE J. Sel. Areas Commun., 13, 953–962 (1995)
-
(1995)
IEEE J. Sel. Areas Commun.
, vol.13
, pp. 953-962
-
-
Norros, I.1
-
235
-
-
0039338095
-
Four approaches to the fractional Brownian storage
-
Lévy Véhel, J., Lutton, E., Tricot, C., Springer
-
Norros, I.: Four approaches to the fractional Brownian storage. In: Lévy Véhel, J., Lutton, E., Tricot, C. (eds) Fractals in Engineering. Springer, 154–169 (1997)
-
(1997)
Fractals in Engineering
, pp. 154-169
-
-
Norros, I.1
-
236
-
-
0002941328
-
Busy periods of fractional Brownian storage: A large deviations approach
-
Norros, I.: Busy periods of fractional Brownian storage: a large deviations approach. Adv. Perform. Analysis, 2, 1–19 (1999)
-
(1999)
Adv. Perform. Analysis
, vol.2
, pp. 1-19
-
-
Norros, I.1
-
237
-
-
0001714525
-
An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
-
Norros, I., Valkeila, E., Virtamo, J.: An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions. Bernoulli 5(4), 571–587 (1999)
-
(1999)
Bernoulli
, vol.5
, Issue.4
, pp. 571-587
-
-
Norros, I.1
Valkeila, E.2
Virtamo, J.3
-
238
-
-
0008162018
-
P-variation and integration of sample functions of stochastic proceses
-
Grigelionis B
-
Norvaiša, R.: p-variation and integration of sample functions of stochastic proceses. In: Grigelionis B. (ed) Prob. Theory Math. Stat. (Proc. 7th Vilnius Conf.), TEV, Vilnius, 521–540 (1999)
-
(1999)
Prob. Theory Math. Stat. (Proc. 7Th Vilnius Conf.), TEV, Vilnius
, pp. 521-540
-
-
Norvaiša, R.1
-
239
-
-
18144383460
-
Schémas d’approximation associés à une équation différentielle dirigée par une fonction höldérienne; cas du mouvement brownien fractionnaire
-
Nourdin, I.: Schémas d’approximation associés à une équation différentielle dirigée par une fonction höldérienne; cas du mouvement brownien fractionnaire. C. R. Acad. Sci. Paris Sér. I Math., 340, 611–614 (2005)
-
(2005)
C. R. Acad. Sci. Paris Sér. I Math.
, vol.340
, pp. 611-614
-
-
Nourdin, I.1
-
242
-
-
0000343766
-
Analysis on Wiener space and anticipating stochastic calculus
-
Nualart, D.: Analysis on Wiener space and anticipating stochastic calculus. In: Lect. Notes Math., 1690, 123–227 (1998)
-
(1998)
Lect. Notes Math.
, vol.1690
, pp. 123-227
-
-
Nualart, D.1
-
243
-
-
13344283509
-
Stochastic integration with respect to fractional Brownian motion and applications
-
González-Barrios, J.M. et al., AMS, Providence, RI
-
Nualart, D.: Stochastic integration with respect to fractional Brownian motion and applications. In: González-Barrios, J.M. et al. (eds), Stochastic Models. Contemp. Math., 336, AMS, Providence, RI, 3–39, (2003)
-
(2003)
Stochastic Models. Contemp. Math., 336
, pp. 3-39
-
-
Nualart, D.1
-
244
-
-
84878041196
-
Fractional Brownian motion: Stochastic calculus and applications
-
Madrid, Spain. European Mathem. Society
-
Nualart, D.: Fractional Brownian motion: stochastic calculus and applications. In: Proceed. Intern. Congress Mathem. Madrid, Spain. European Mathem. Society (2006)
-
(2006)
Proceed. Intern. Congress Mathem
-
-
Nualart, D.1
-
245
-
-
0036830384
-
Regularization of differential equations by fractional noise
-
Nualart, D., Ouknine, Y.: Regularization of differential equations by fractional noise. Stoch. Proc. Appl., 102, 103–116 (2002)
-
(2002)
Stoch. Proc. Appl.
, vol.102
, pp. 103-116
-
-
Nualart, D.1
Ouknine, Y.2
-
246
-
-
0038703505
-
Besov regularity of stochastic integrals with respect to the fractional Brownian motion with parameter H>1/2
-
Nualart, D., Ouknine, Y.: Besov regularity of stochastic integrals with respect to the fractional Brownian motion with parameter H>1/2. J. Theor. Prob., 16, 451–470 (2003)
-
(2003)
J. Theor. Prob.
, vol.16
, pp. 451-470
-
-
Nualart, D.1
Ouknine, Y.2
-
249
-
-
0038771348
-
Differential equations driven by fractional Brownian motion
-
Nualart, D. Răşcanu, A.: Differential equations driven by fractional Brownian motion. Collect. Math., 53, 55–81 (2000)
-
(2000)
Collect. Math.
, vol.53
, pp. 55-81
-
-
Nualart, D.1
Răşcanu, A.2
-
252
-
-
11244307581
-
Fractional Brownian motion in finance
-
Jensen, B.S., Palokangas, T., CBS Press, Copenhagen
-
Øksendal, B.: Fractional Brownian motion in finance. In: Jensen, B.S., Palokangas, T. (eds) Stochastic economic dynamics. CBS Press, Copenhagen (2007)
-
(2007)
Stochastic Economic Dynamics
-
-
Øksendal, B.1
-
253
-
-
0000471777
-
Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations
-
Øksendal, B., Zhang, T.: Multiparameter fractional Brownian motion and quasi-linear stochastic partial differential equations, Stoch. Stoch. Rep. 71, 141–163 (2001)
-
(2001)
Stoch. Stoch. Rep.
, vol.71
, pp. 141-163
-
-
Øksendal, B.1
Zhang, T.2
-
254
-
-
17744421409
-
Multiple stochastic fractional integrals: A transfer principle for multiple stochastic fractional integrals
-
Pérez-Abreu, V., Tudor, C.: Multiple stochastic fractional integrals: a transfer principle for multiple stochastic fractional integrals. Bol. Soc. Mat. Mexicana, 3, 187–203 (2002)
-
(2002)
Bol. Soc. Mat. Mexicana
, vol.3
, pp. 187-203
-
-
Pérez-Abreu, V.1
Tudor, C.2
-
255
-
-
0347467583
-
Convergence of the WeierstrassMandelbrot process to fractional Brownian motion
-
Pipiras, V., Taqqu, M.: Convergence of the WeierstrassMandelbrot process to fractional Brownian motion. Fractals, 8, 360–384 (2000)
-
(2000)
Fractals
, vol.8
, Issue.360-384
-
-
Pipiras, V.1
Taqqu, M.2
-
256
-
-
0034562433
-
Integration questions related to fractional Brownian motion
-
Pipiras, V., Taqqu, M.: Integration questions related to fractional Brownian motion. Prob. Theory Rel. Fields, 118, 251–291 (2000)
-
(2000)
Prob. Theory Rel. Fields
, vol.118
, pp. 251-291
-
-
Pipiras, V.1
Taqqu, M.2
-
257
-
-
33750073208
-
Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
-
Pipiras, V., Taqqu, M.S.: Are classes of deterministic integrands for fractional Brownian motion on an interval complete? Bernoulli, 7, 873–897 (2001)
-
(2001)
Bernoulli
, vol.7
, pp. 873-897
-
-
Pipiras, V.1
Taqqu, M.S.2
-
258
-
-
0038895554
-
Deconvolution of fractional Brownian motion
-
Pipiras, V., Taqqu, M.S.: Deconvolution of fractional Brownian motion. J. of Time Series Analysis, 23, 487–501 (2002)
-
(2002)
J. of Time Series Analysis
, vol.23
, pp. 487-501
-
-
Pipiras, V.1
Taqqu, M.S.2
-
259
-
-
33644802217
-
Fractional calculus and its connection to fractional Brownian motion
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Pipiras, V., Taqqu M.S.: Fractional calculus and its connection to fractional Brownian motion. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 165–202 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 165-202
-
-
Pipiras, V.1
Taqqu, M.S.2
-
260
-
-
84994018857
-
Fractional Differential Equations. An Introduction to Fractional Derivatives, Fractional Differential Equations, Some Methods of Their Solution and Some of Their Applications
-
Podlubny, I.: Fractional Differential Equations. An Introduction to Fractional Derivatives, Fractional Differential Equations, Some Methods of Their Solution and Some of Their Applications. Academic Press, San Diego (1999)
-
(1999)
Academic Press, San Diego
-
-
Podlubny, I.1
-
261
-
-
85009759772
-
Optimal filtering in systems with fractionalBrownian noises. Theory Prob
-
Posashkov, S. Optimal filtering in systems with fractionalBrownian noises. Theory Prob. Math. Stat, 72, 120–128 (2005)
-
(2005)
Math. Stat
, vol.72
, pp. 120-128
-
-
Posashkov, S.1
-
262
-
-
0001900180
-
Skorokhod stochastic integration with respect to a non-adapted process on Wiener space
-
Privault, N.: Skorokhod stochastic integration with respect to a non-adapted process on Wiener space. Stoch. Stoch. Rep., 65, 13–39 (1998)
-
(1998)
Stoch. Stoch. Rep.
, vol.65
, pp. 13-39
-
-
Privault, N.1
-
264
-
-
0026190345
-
On the wavelet transform of fractional Brownian motion
-
Ramanathan, J., Zeitouni, O.: On the wavelet transform of fractional Brownian motion. IEEE Trans. Inform. Theory, 37, 1156– 1158 (1991)
-
(1991)
IEEE Trans. Inform. Theory
, vol.37
, pp. 1156-1158
-
-
Ramanathan, J.1
Zeitouni, O.2
-
265
-
-
0029376083
-
Spectral representation of fractional Brownian motion in n dimensions and its properties
-
Reed, I.S., Lee, P.C., Truong, T.K.: Spectral representation of fractional Brownian motion in n dimensions and its properties. IEEE Trans. Inf. Theory, 41, 1439–1451 (1995)
-
(1995)
IEEE Trans. Inf. Theory
, vol.41
, pp. 1439-1451
-
-
Reed, I.S.1
Lee, P.C.2
Truong, T.K.3
-
266
-
-
0031540977
-
Arbitrage with fractional Brownian motion
-
Rogers, L.C.G.: Arbitrage with fractional Brownian motion, Mathem. Finance, 7, 95–105 (1997)
-
(1997)
Mathem. Finance
, vol.7
, pp. 95-105
-
-
Rogers, L.C.G.1
-
267
-
-
0002869078
-
The intersection local time of fractional Brownian motion in the plane
-
Rosen, J.: The intersection local time of fractional Brownian motion in the plane. J. Multivariate Analysis, 23, 37–46 (1987)
-
(1987)
J. Multivariate Analysis
, vol.23
, pp. 37-46
-
-
Rosen, J.1
-
268
-
-
21344479524
-
Forward, backward and symmetric stochastic integration
-
Russo, F., Vallois, P.: Forward, backward and symmetric stochastic integration. Prob. Theory Rel. Fields, 97, 403–421 (1993)
-
(1993)
Prob. Theory Rel. Fields
, vol.97
, pp. 403-421
-
-
Russo, F.1
Vallois, P.2
-
270
-
-
0001967383
-
The generalized covariation process and Itô formula
-
Russo, F., Vallois, P.: The generalized covariation process and Itô formula. Stoch. Proc. Appl., 59, 81–104 (1995)
-
(1995)
Stoch. Proc. Appl.
, vol.59
, pp. 81-104
-
-
Russo, F.1
Vallois, P.2
-
271
-
-
85072870778
-
Forward and backward calculus with respect to finite quadratic variation processes
-
Russo, F., Vallois, P.: Forward and backward calculus with respect to finite quadratic variation processes. Preprint, Institut Galilée, Mathématiques, Université Paris (1998)
-
(1998)
Preprint, Institut Galilée, Mathématiques, Université Paris
-
-
Russo, F.1
Vallois, P.2
-
272
-
-
0002992001
-
Stochastic calculus with respect to continuous finite quadratic variation processes
-
Russo, F., Vallois, P.: Stochastic calculus with respect to continuous finite quadratic variation processes. Stoch. Stoch. Rep., 70, 1–40 (2000)
-
(2000)
Stoch. Stoch. Rep.
, vol.70
, pp. 1-40
-
-
Russo, F.1
Vallois, P.2
-
273
-
-
0034258581
-
Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion
-
Ruzmaikina, A.A.: Stieltjes integrals of Hölder continuous functions with applications to fractional Brownian motion. J. Stat. Phys., 100, 1049–1069 (2000)
-
(2000)
J. Stat. Phys.
, vol.100
, pp. 1049-1069
-
-
Ruzmaikina, A.A.1
-
274
-
-
36449002999
-
Construction of a complex-valued fractional Brownian motion of order N
-
Sainty, Ph.: Construction of a complex-valued fractional Brownian motion of order N. J.Math.Phys.,33, 3128–3149 (1992)
-
(1992)
J.Math.Phys.
, vol.33
, pp. 3128-3149
-
-
Sainty, P.1
-
275
-
-
0008275846
-
Tolerance to arbitrage
-
Salopek, D.M.: Tolerance to arbitrage. Stock. Proc. Appl. 76, 217–230 (1998)
-
(1998)
Stock. Proc. Appl.
, vol.76
, pp. 217-230
-
-
Salopek, D.M.1
-
276
-
-
0003598080
-
-
Gordon and Breach Science Publishers, New York
-
Samko, S.G., Kilbas, A.A., Marichev, O.I.: Fractional Integrals and Derivatives. Theory and Applications. Gordon and Breach Science Publishers, New York (1993)
-
(1993)
Fractional Integrals and Derivatives. Theory and Applications
-
-
Samko, S.G.1
Kilbas, A.A.2
Marichev, O.I.3
-
278
-
-
33947163255
-
Robust option replication for a Black–Scholes model extended with nondeterministic trends
-
Schoenmakers, J.G.M., Kloeden, P.: Robust option replication for a Black–Scholes model extended with nondeterministic trends. J. Appl. Math. Stoch. Anal.,12, 113–120 (1999)
-
(1999)
J. Appl. Math. Stoch. Anal.
, vol.12
, pp. 113-120
-
-
Schoenmakers, J.G.M.1
Kloeden, P.2
-
279
-
-
21844502699
-
Path integral representation for fractional Brownian motion
-
Sebastian, K. L.: Path integral representation for fractional Brownian motion. J. Phys. A, Math. Gen., 28, 4305–4311 (1995)
-
(1995)
J. Phys. A, Math. Gen.
, vol.28
, pp. 4305-4311
-
-
Sebastian, K.L.1
-
280
-
-
0030327741
-
Limit theorems for local times of fractional Brownian motions and some other self-similar processes
-
Shieh, N.-R.: Limit theorems for local times of fractional Brownian motions and some other self-similar processes. J. Math. Kyoto Univ., 36, 641–652 (1996)
-
(1996)
J. Math. Kyoto Univ.
, vol.36
, pp. 641-652
-
-
Shieh, N.-R.1
-
283
-
-
0031484207
-
Distribution of the maximum of a fractional Brownian motion
-
Sinaj, Ya.G.: Distribution of the maximum of a fractional Brownian motion. Russ. Math. Surv., 52, 359–378 (1997)
-
(1997)
Russ. Math. Surv.
, vol.52
, pp. 359-378
-
-
Sinaj, Y.G.1
-
284
-
-
0009613401
-
An integrated fractional Fourier transform
-
Singer, P.: An integrated fractional Fourier transform. J. Comp. Appl. Math., 54, 221–237 (1994)
-
(1994)
J. Comp. Appl. Math.
, vol.54
, pp. 221-237
-
-
Singer, P.1
-
285
-
-
21844516579
-
On the spectra of Riemann-Liouville fractional Brownian motion
-
Sithi, V.M., Lim, S.C.: On the spectra of Riemann-Liouville fractional Brownian motion. J. Phys. A, Math. Gen., 28, 2995–3003 (1995)
-
(1995)
J. Phys. A, Math. Gen.
, vol.28
, pp. 2995-3003
-
-
Sithi, V.M.1
Lim, S.C.2
-
286
-
-
0001764417
-
On a generalization of a stochastic integral
-
Skorokhod, A.V.: On a generalization of a stochastic integral. Theory Prob. Appl., 20, 219–233 (1975)
-
(1975)
Theory Prob. Appl.
, vol.20
, pp. 219-233
-
-
Skorokhod, A.V.1
-
288
-
-
0347349326
-
Fractional Brownian motion, random walks and binary market models
-
Sottinen, T.: Fractional Brownian motion, random walks and binary market models. Finance Stoch., 5, 343–355 (2001)
-
(2001)
Finance Stoch
, vol.5
, pp. 343-355
-
-
Sottinen, T.1
-
289
-
-
7444250256
-
On arbitrage and replication in the fractional Black–Scholes pricing model
-
Sottinen, T., Valkeila E.: On arbitrage and replication in the fractional Black–Scholes pricing model. Stat. Decisions, 21, 93– 107 (2003)
-
(2003)
Stat. Decisions
, vol.21
, pp. 93-107
-
-
Sottinen, T.1
Valkeila, E.2
-
290
-
-
34447507221
-
CLTs for polynomials of linear sequences: Diagram formula with illustrations
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Surgailis, D.: CLTs for polynomials of linear sequences: diagram formula with illustrations. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 111–128 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 111-128
-
-
Surgailis, D.1
-
291
-
-
31344482335
-
Non-CLTs: U-statistics, multinomial formula and approximations of multiple Wiener–Itô integrals
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Surgailis, D.: Non-CLTs: U-statistics, multinomial formula and approximations of multiple Wiener–Itô integrals. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 129–142 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 129-142
-
-
Surgailis, D.1
-
292
-
-
14944385205
-
Limit theorems for the Burgers equation initialized by data with long-range dependence
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Surgailis, D., Woyczynski, W.A.: Limit theorems for the Burgers equation initialized by data with long-range dependence. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 507– 523 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 507-523
-
-
Surgailis, D.1
Woyczynski, W.A.2
-
293
-
-
0000249237
-
Hausdorff measure of trajectories of multiparameter fractional Brownian motion
-
Talagrand, M.: Hausdorff measure of trajectories of multiparameter fractional Brownian motion. Ann. Prob., 23, 767–775 (1995)
-
(1995)
Ann. Prob.
, vol.23
, pp. 767-775
-
-
Talagrand, M.1
-
294
-
-
21844507338
-
Lower classes for fractional Brownian motion
-
Talagrand, M.: Lower classes for fractional Brownian motion. J. Theor. Prob., 9, 191–213 (1996)
-
(1996)
J. Theor. Prob.
, vol.9
, pp. 191-213
-
-
Talagrand, M.1
-
295
-
-
21344432528
-
Fractional Brownian motion and packing dimension
-
Talagrand, M., Xiao, Y.: Fractional Brownian motion and packing dimension. J. Theor. Prob., 9, 579–593 (1996)
-
(1996)
J. Theor. Prob.
, vol.9
, pp. 579-593
-
-
Talagrand, M.1
Xiao, Y.2
-
296
-
-
34250409798
-
Weak convergence to fractional Brownian motion and to the Rosenblatt process
-
Taqqu, M.: Weak convergence to fractional Brownian motion and to the Rosenblatt process. Z. Wahr. verw. Gebiete, 31, 287– 302 (1975)
-
(1975)
Z. Wahr. Verw. Gebiete
, vol.31
, pp. 287-302
-
-
Taqqu, M.1
-
297
-
-
34250296747
-
Law of the iterated logarithm for sums of non linear functions of Gaussian variables that exhibit long-range dependence
-
Taqqu, M.: Law of the iterated logarithm for sums of non linear functions of Gaussian variables that exhibit long-range dependence. Z. Wahr. verw. Gebiete, 40, 203–238 (1977)
-
(1977)
Z. Wahr. Verw. Gebiete
, vol.40
, pp. 203-238
-
-
Taqqu, M.1
-
298
-
-
3142681196
-
Fractional Brownian motion and long-range dependence
-
Doukhan, P., Oppenheim, G., Taqqu, M., Boston
-
Taqqu, M.: Fractional Brownian motion and long-range dependence. In: Doukhan, P., Oppenheim, G., Taqqu, M. (eds) Theory and Applications of Long-Range Dependence. Birkhäuser, Boston, 5–38 (2003)
-
(2003)
Theory and Applications of Long-Range Dependence. Birkhäuser
, pp. 5-38
-
-
Taqqu, M.1
-
299
-
-
0000233505
-
Estimators for long-range dependence: an empirical study
-
Taqqu, M.S., Teverovsky, V., Willinger, W.: Estimators for long-range dependence: an empirical study. Fractals, 3, 785–798 (1995)
-
(1995)
Fractals
, vol.3
, pp. 785-798
-
-
Taqqu, M.S.1
Teverovsky, V.2
Willinger, W.3
-
300
-
-
0002346987
-
On estimating long-range dependence in finite and infinite variance series
-
Adler, R., Feldman, R., Taqqu, M.S. (eds) A Practical Guide to Heavy Tails: Statistical Techniques and Applications
-
Taqqu, M.S., Teverovsky, V.: On estimating long-range dependence in finite and infinite variance series. In: Adler, R., Feldman, R., Taqqu, M.S. (eds) A Practical Guide to Heavy Tails: Statistical Techniques and Applications. Birkhäuser, Boston, 177–217 (1997)
-
(1997)
Birkhäuser, Boston
, pp. 177-217
-
-
Taqqu, M.S.1
Teverovsky, V.2
-
301
-
-
24944539462
-
A note on fractional Brownian motion
-
Thao, T.H.: A note on fractional Brownian motion. Vietnam J. Math., 31, 255–260 (2003).
-
(2003)
Vietnam J. Math.
, vol.31
, pp. 255-260
-
-
Thao, T.H.1
-
302
-
-
0242339531
-
Stochastic evolution equations with fractional Brownian motion
-
Tindel, S., Tudor, C., Viens, F.: Stochastic evolution equations with fractional Brownian motion. Prob. Theory Rel. Fields, 127, 186–204 (2003)
-
(2003)
Prob. Theory Rel. Fields
, vol.127
, pp. 186-204
-
-
Tindel, S.1
Tudor, C.2
Viens, F.3
-
303
-
-
0742288626
-
Weak convergence to the fractional Brownian sheet in Besov spaces
-
Tudor, C.A.: Weak convergence to the fractional Brownian sheet in Besov spaces. Bull. Braz. Math. Soc. (N.S.), 34, 389–400 (2003)
-
(2003)
Bull. Braz. Math. Soc. (N.S.)
, vol.34
, pp. 389-400
-
-
Tudor, C.A.1
-
304
-
-
0242676993
-
On the two-parameter fractional Brownian motion and Stieltjes integrals for Hölder functions
-
Tudor, C., Tudor, M.: On the two-parameter fractional Brownian motion and Stieltjes integrals for Hölder functions. J. Math. Anal. Appl., 286, 765–781 (2003)
-
(2003)
J. Math. Anal. Appl.
, vol.286
, pp. 765-781
-
-
Tudor, C.1
Tudor, M.2
-
305
-
-
10644253389
-
Itô formula and local time for the fractional Brownian sheet
-
Tudor, C.A., Viens, F.G.: Itô formula and local time for the fractional Brownian sheet. Electronic J. Prob., 8, 1–31 (2003)
-
(2003)
Electronic J. Prob.
, vol.8
, Issue.1-31
-
-
Tudor, C.A.1
Viens, F.G.2
-
307
-
-
0037633753
-
Weak convergence to fractional Brownian motion in Brownian scenery
-
Wang, W.: Weak convergence to fractional Brownian motion in Brownian scenery. Prob. Theory Rel. Fields, 126, 203–220 (2003)
-
(2003)
Prob. Theory Rel. Fields
, vol.126
, pp. 203-220
-
-
Wang, W.1
-
308
-
-
0037289951
-
A fractional version of the Merton model
-
Wang, X.-T., Ren, F.-Y., Liang, X.-Q.: A fractional version of the Merton model. Chaos, Solut. Fractals, 15, 455–463 (2003)
-
(2003)
Chaos, Solut. Fractals
, vol.15
, pp. 455-463
-
-
Wang, X.-T.1
Ren, F.-Y.2
Liang, X.-Q.3
-
310
-
-
85040136095
-
Differential space
-
Wiener N.: Differential space. J. Math. Phys. 2, 131–134 (1923)
-
(1923)
J. Math. Phys.
, vol.2
, pp. 131-134
-
-
Wiener, N.1
-
311
-
-
0001913181
-
Stock market process and long-range dependence
-
Willinger, W., Taqqu, M., Teverovsky, V.: Stock market process and long-range dependence. Finance Stoch., 3, 1–13 (1999)
-
(1999)
Finance Stoch
, vol.3
, pp. 1-13
-
-
Willinger, W.1
Taqqu, M.2
Teverovsky, V.3
-
312
-
-
0012721918
-
The fractional Black–Scholes equation
-
Wyss, W.: The fractional Black–Scholes equation. Fraction. Calc. Appl. Anal., 3, 51–61 (2000)
-
(2000)
Fraction. Calc. Appl. Anal.
, vol.3
, pp. 51-61
-
-
Wyss, W.1
-
313
-
-
85072873302
-
Multiple points of fractional Brownian motion and Hausdorff dimension. (Chinese) Chin
-
Xiao, Y.: Multiple points of fractional Brownian motion and Hausdorff dimension. (Chinese) Chin. Ann. Math., Ser. A, 12, 612–618 (1991)
-
(1991)
Ann. Math., Ser. A
, vol.12
, pp. 612-618
-
-
Xiao, Y.1
-
314
-
-
21344436356
-
Packing measure of the sample paths of fractional Brownian motion
-
Xiao, Y.: Packing measure of the sample paths of fractional Brownian motion. Trans. Amer. Math. Soc., 348, 3193–3213 (1996)
-
(1996)
Trans. Amer. Math. Soc.
, vol.348
, pp. 3193-3213
-
-
Xiao, Y.1
-
315
-
-
0031574846
-
Packing dimension of the image of fractional Brownian motion
-
Xiao, Y.: Packing dimension of the image of fractional Brownian motion. Stat. Prob. Lett., 33, 379–387 (1997)
-
(1997)
Stat. Prob. Lett.
, vol.33
, pp. 379-387
-
-
Xiao, Y.1
-
316
-
-
33749100548
-
Hausdorff measure of the graph of fractional Brownian motion
-
Xiao, Y.: Hausdorff measure of the graph of fractional Brownian motion. Math. Proc. Camb. Philos. Soc., 122, 565–576 (1997)
-
(1997)
Math. Proc. Camb. Philos. Soc.
, vol.122
, pp. 565-576
-
-
Xiao, Y.1
-
317
-
-
84931961374
-
Certain types of random fields in n-dimentional space similar to stationary stochastic processes
-
Yaglom, A.M.: Certain types of random fields in n-dimentional space similar to stationary stochastic processes. Theory Prob. Appl., 2, 292–338 (1957)
-
(1957)
Theory Prob. Appl.
, vol.2
, pp. 292-338
-
-
Yaglom, A.M.1
-
319
-
-
0030210372
-
New methods for simulation of fractional Brownian motion
-
Yin, Z.-M.: New methods for simulation of fractional Brownian motion. J. Comp. Phys., 127, 66–72 (1996)
-
(1996)
J. Comp. Phys.
, vol.127
, pp. 66-72
-
-
Yin, Z.-M.1
-
320
-
-
0041028555
-
Sur les intégrales stochastiques optionelles et une suite remarquable de formules exponentielles. (French) Séminaire Prob. X
-
Yor, M.: Sur les intégrales stochastiques optionelles et une suite remarquable de formules exponentielles. (French) Séminaire Prob. X, In: Lect. Notes Math. 511, Springer, Berlin, 481–500 (1976)
-
(1976)
Lect. Notes Math. 511, Springer, Berlin
, pp. 481-500
-
-
Yor, M.1
-
321
-
-
85072869062
-
Remarques sur certaines constructions des mouvements browniens frationnaires. (Remark on certain constructions of fractional Brownian motions.) (French) Séminaire Prob. XXII
-
217–224
-
Yor, M.: Remarques sur certaines constructions des mouvements browniens frationnaires. (Remark on certain constructions of fractional Brownian motions.) (French) Séminaire Prob. XXII, In: Lect. Notes Math., 1321, Springer, Berlin, 217–224 (1988)
-
(1988)
Lect. Notes Math., 1321, Springer, Berlin
-
-
Yor, M.1
-
322
-
-
0345944368
-
A weak convergence theorem for functionals of sums of martingale differences
-
Yoshihara, K.-I.: A weak convergence theorem for functionals of sums of martingale differences. Yokohama Math. J., 26, 101–107 (1978)
-
(1978)
Yokohama Math. J.
, vol.26
, pp. 101-107
-
-
Yoshihara, K.-I.1
-
323
-
-
0038290919
-
Integration with respect to fractal functions and stochastic calculus. I
-
Zähle, M.: Integration with respect to fractal functions and stochastic calculus. I. Prob. Theory Rel. Fields, 111, 333–374 (1998)
-
(1998)
Prob. Theory Rel. Fields
, vol.111
, pp. 333-374
-
-
Zähle, M.1
-
324
-
-
0013113290
-
On the link between fractional and stochastic calculcus
-
Grauel, H., Gundlach, M., Springer
-
Zähle, M.: On the link between fractional and stochastic calculcus. In: Grauel, H., Gundlach, M. (eds) Stochastic Dynamics, Springer, 305–325 (1999)
-
(1999)
Stochastic Dynamics
, pp. 305-325
-
-
Zähle, M.1
-
325
-
-
0041026849
-
Integraton with respect to fractal functions and stochastic calculus. II
-
Zähle, M.: Integraton with respect to fractal functions and stochastic calculus. II. Math. Nachr., 225, 145–183 (2001)
-
(2001)
Math. Nachr.
, vol.225
, pp. 145-183
-
-
Zähle, M.1
-
326
-
-
22144482411
-
Long range dependence, no arbitrage and the BlackScholes formula
-
Zähle, M.: Long range dependence, no arbitrage and the BlackScholes formula. Stochastics and Dynamics, 2, 265–280 (2002)
-
(2002)
Stochastics and Dynamics
, vol.2
, pp. 265-280
-
-
Zähle, M.1
-
327
-
-
22144461816
-
Forward integrals and stochastic differential equations
-
Dalang, R.C., Dozzi, M., Birkhäuser
-
Zähle, M.: Forward integrals and stochastic differential equations. In: Dalang, R.C., Dozzi, M. (eds) Sem. Stoch. Anal, Random Fields Appl. III, Progress in Prob., 52,Birkhäuser, 293–302 (2002)
-
(2002)
Sem. Stoch. Anal, Random Fields Appl. III, Progress in Prob
, vol.52
, pp. 293-302
-
-
Zähle, M.1
-
328
-
-
22144488750
-
Stochastic differential equations with fractal noise
-
Zähle, M.: Stochastic differential equations with fractal noise. Math. Nachr., 278, 1097–1106 (2005)
-
(2005)
Math. Nachr.
, vol.278
, pp. 1097-1106
-
-
Zähle, M.1
-
329
-
-
0030306839
-
Some liminf results on increments of fractional Brownian motion
-
Zhang, L.: Some liminf results on increments of fractional Brownian motion. Acta Math. Hung., 71, 215–240 (1996)
-
(1996)
Acta Math. Hung.
, vol.71
, pp. 215-240
-
-
Zhang, L.1
-
330
-
-
0031285450
-
A note on liminfs for increments of a fractional Brownian motion
-
Zhang, L.: A note on liminfs for increments of a fractional Brownian motion. Acta Math. Hung., 76, 145–154 (1997)
-
(1997)
Acta Math. Hung
, vol.76
, pp. 145-154
-
-
Zhang, L.1
|