Integral Representation with Adapted Continuous Integrand with Respect to Fractional Brownian Motion
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Publication:2937459
DOI10.1080/07362994.2014.948725zbMath1305.60041arXiv1403.2066OpenAlexW2181961890MaRDI QIDQ2937459
Lauri Viitasaari, Georgiy M. Shevchenko
Publication date: 9 January 2015
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.2066
fractional Brownian motionstochastic integralgeneralized Lebesgue-Stieltjes integraladapted Hölder continuous process
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)
Related Items (3)
Integral representation with respect to fractional Brownian motion under a log-Hölder assumption ⋮ Small ball properties and representation results ⋮ Adapted integral representations of random variables
Cites Work
- Wiener functionals as Ito integrals
- Integration with respect to fractal functions and stochastic calculus. I
- Random variables as pathwise integrals with respect to fractional Brownian motion
- FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
- On hedging European options in geometric fractional Brownian motion market model
- A General Fractional White Noise Theory And Applications To Finance
- THE RESTRICTION OF THE FRACTIONAL ITÔ INTEGRAL TO ADAPTED INTEGRANDS IS INJECTIVE
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