A martingale approach for fractional Brownian motions and related path dependent PDEs

DOI10.1214/19-AAP1486zbMath1441.60031arXiv1712.03637OpenAlexW2998743520WikidataQ114060554 ScholiaQ114060554MaRDI QIDQ2299585

Yanyan Li

Publication date: 21 February 2020

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.03637

zbMATH Keywords

fractional Brownian motionMonte Carlo methodstime inconsistencypath dependent PDEsfunctional Itô formularough volatilityVolterra SDE

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integral equations (60H20) Second-order parabolic equations (35K10)

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