Decoupled double stochastic fractional integrals

DOI10.1080/10451120500138556zbMath1085.60031OpenAlexW1999934030MaRDI QIDQ5704543

Peter Caithamer

Publication date: 15 November 2005

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10451120500138556

zbMATH Keywords

Fractional Brownian motionHurst parameterGaussian stochastic processMultiple stochastic fractional integrals

Mathematics Subject Classification ID

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

Related Items (2)

Power variation of multiple fractional integrals ⋮ EXISTENCE CRITERIA FOR SOLUTIONS OF LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS WITH SKEW-SYMMETRIC DIFFERENTIAL OPERATOR AND ADDITIVE FRACTIONAL BROWNIAN NOISE

Cites Work

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• THE STOCHASTIC WAVE EQUATION DRIVEN BY FRACTIONAL BROWNIAN NOISE AND TEMPORALLY CORRELATED SMOOTH NOISE
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Convergence of Quadratic Forms in Independent Random Variables
• Fractional Brownian Motions, Fractional Noises and Applications
• Stochastic calculus with respect to Gaussian processes

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