From Stochastic Integration wrt Fractional Brownian Motion to Stochastic Integration wrt Multifractional Brownian Motion

zbMath1389.60056arXiv1305.0342MaRDI QIDQ5264665

Joachim Lebovits

Publication date: 27 July 2015

Full work available at URL: https://arxiv.org/abs/1305.0342

zbMATH Keywords

Gaussian processesconvergence in lawWick-Itô integralwhite noise theoryfractional and multifractional Brownian motions

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40) Stochastic integrals (60H05)

Related Items (5)

Multifractional Hermite processes: definition and first properties ⋮ General transfer formula for stochastic integral with respect to multifractional Brownian motion ⋮ Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions ⋮ Stochastic calculus with respect to Gaussian processes ⋮ An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion

This page was built for publication: From Stochastic Integration wrt Fractional Brownian Motion to Stochastic Integration wrt Multifractional Brownian Motion