Some linear fractional stochastic equations

DOI10.1080/17442500600688997zbMath1102.60050arXivmath/0511383OpenAlexW2075686781MaRDI QIDQ5485914

Ciprian A. Tudor, Ivan Nourdin

Publication date: 4 September 2006

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0511383

zbMATH Keywords

fractional Brownian motionmultiple stochastic integralfractional Brownian sheetGirsanov transform

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (8)

Trees and asymptotic expansions for fractional stochastic differential equations ⋮ Stochastic differential equations driven by fractional Brownian motions ⋮ Conforming finite element method for the time‐fractional nonlinear stochastic fourth‐order reaction diffusion equation ⋮ Parameter estimation for stochastic equations with additive fractional Brownian sheet ⋮ Time reversal of Volterra processes driven stochastic differential equations ⋮ Stochastic heat equation with multiplicative fractional-colored noise ⋮ Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet ⋮ Fractional stochastic differential equations with applications to finance

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