Girsanov theorem for multifractional Brownian processes

DOI10.1080/17442508.2022.2027948zbMath1499.60169arXiv1706.07387OpenAlexW4210565337WikidataQ113848398 ScholiaQ113848398MaRDI QIDQ5056592

Fabian A. Harang, Torstein Nilssen, Frank Norbert Proske

Publication date: 8 December 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.07387

zbMATH Keywords

regularizationstochastic differential equationsmultifractional Brownian motionfractional calculus of variable ordermultifractional calculus

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fractional integration and differentiation of variable order: an overview
• Integral operators in non-standard function spaces. Volume 2: Variable exponent Hölder, Morrey-Campanato and Grand spaces
• Lebesgue and Sobolev spaces with variable exponents
• Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
• Elliptic Gaussian random processes
• Variable order and distributed order fractional operators
• The probabilistic point of view on the generalized fractional partial differential equations
• Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions
• Regularization of differential equations by fractional noise.
• Fractional Brownian motion and multifractional Brownian motion of Riemann-Liouville type
• White noise-based stochastic calculus with respect to multifractional Brownian motion
• The Malliavin Calculus and Related Topics
• Integration and differentiation to a variable fractional order
• Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
• MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS
• Stochastic Equations in Infinite Dimensions

This page was built for publication: Girsanov theorem for multifractional Brownian processes