Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise

DOI10.1515/fca-2016-0071zbMath1355.60068arXiv1608.08466OpenAlexW2962849641MaRDI QIDQ501514

Kostiantyn Ralchenko, Giulia Di Nunno, Yuliya S. Mishura

Publication date: 9 January 2017

Published in: Fractional Calculus \& Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.08466

zbMATH Keywords

Lévy processessubordinationfractional Brownian motionfractional calculustime changeVolterra processesambit fieldsmartingale noisepathwise integration

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Fractional derivatives and integrals (26A33) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (3)

Research on application of fractional calculus in signal real-time analysis and processing in stock financial market ⋮ On the approximation of Lévy driven Volterra processes and their integrals ⋮ Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises

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