Gaussian Volterra processes with power-type kernels. I

DOI10.15559/22-VMSTA205OpenAlexW4225665731MaRDI QIDQ2172945

Sergiy Shklyar, Yuliya S. Mishura

Publication date: 19 September 2022

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15559/22-vmsta205

zbMATH Keywords

fractional Brownian motionHölder continuityGaussian Volterra processesquasi-helix property

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Self-similar stochastic processes (60G18)

Related Items (3)

Gaussian Volterra processes: Asymptotic growth and statistical estimation ⋮ On the Gaussian Volterra processes with power-type kernels ⋮ Gaussian Volterra processes with power-type kernels. II

Cites Work

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• Necessary and sufficient conditions for Hölder continuity of Gaussian processes
• Stochastic analysis of Gaussian processes via Fredholm representation
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic Analysis of Mixed Fractional Gaussian Processes
• Stochastic calculus with respect to Gaussian processes

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