Gaussian processes with Volterra kernels

DOI10.1007/978-3-031-17820-7_13arXiv2001.03405OpenAlexW3000540709MaRDI QIDQ6153216

Georgiy M. Shevchenko, Yuliya S. Mishura, Sergiy Shklyar

Publication date: 16 March 2024

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.03405

zbMATH Keywords

continuityGaussian processHölder propertyinverse representationVolterra processSonine pair

Mathematics Subject Classification ID

Gaussian processes (60G15)

Cites Work

• General fractional calculus, evolution equations, and renewal processes
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Replication of Wiener-transformable stochastic processes with application to financial markets with memory
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic calculus with respect to Gaussian processes
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