Results 1 to 10 of about 905 (62)
Generalized BDSDEs driven by fractional Brownian motion
Nonautonomous Dynamical Systems, 2023 This article deals with a class of generalized backward doubly stochastic differential equations driven by fractional Brownian motion with the Hurst parameter HH greater than 1/2.
Aidara Sadibou +2 more
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A Fourier Analysis Based New Look at Integration
Annales Mathematicae Silesianae, 2023 We approach the problem of integration for rough integrands and integrators, typically representing trajectories of stochastic processes possessing only some Hölder regularity of possibly low order, in the framework of para-control calculus.
Imkeller Peter, Perkowski Nicolas
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Probability structure preserving and absolute continuity [PDF]
, 2002 . – The concept of probability structure preserving mapping is introduced. The idea is applied to define stochastic integral for fractional Brownian motion (fBm) and to obtain an anticipative Girsanov theorem for fBm.
Hu, Yaozhong
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Hitting times for Gaussian processes [PDF]
, 2007 We establish a general formula for the Laplace transform of the hitting times of a Gaussian process. Some consequences are derived, and particular cases like the fractional Brownian motion are discussed.Comment: Published in at http://dx.doi.org/10.1214 ...
Decreusefond, Laurent, Nualart, David
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Nonautonomous Dynamical Systems, 2018 This paper focuses on a nonlinear second-order stochastic evolution equations driven by a fractional Brownian motion (fBm) with Poisson jumps and which is dependent upon a family of probability measures.
McKibben Mark A., Webster Micah
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A Delayed Black and Scholes Formula I [PDF]
, 2006 In this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to fit real market
Bachelier L. +21 more
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Integral representation with adapted continuous integrand with respect to fractional Brownian motion [PDF]
, 2014 We show that if a random variable is a final value of an adapted Holder continuous process, then it can be represented as a stochastic integral with respect to fractional Brownian motion, and the integrand is an adapted process, continuous up to the ...
Shevchenko, Georgiy, Viitasaari, Lauri
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A non commutative sewing lemma [PDF]
, 2007 In a preceding paper [E.J.ofProb.34,860-892,(2006)], we proved a sewing lemma which was a key result for the study of Holder continuous functions.
De La Pradelle, Arnaud +2 more
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Brownian semistationary processes and conditional full support [PDF]
, 2010 In this note, we study the infinite-dimensional conditional laws of Brownian semistationary processes. Motivated by the fact that these processes are typically not semimartingales, we present sufficient conditions ensuring that a Brownian semistationary ...
Grenander U. +2 more
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A family of integral representations for the brownian variables [PDF]
, 2003 . – The natural filtration of a real Brownian motion and its excursion filtration are sharing a fundamental property: the property of integral representation. As a consequence, every Brownian variable admits two distinct integral representations. We show
Eisenbaum, Nathalie, Hu, Yueyun
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