4 A Representation Theorem for Expectations of Functionals of Fractional Brownian Motion (original) (raw)
Related papers
On the relation between the fractional Brownian motion and the fractional derivatives
Physics Letters, Section A: General, Atomic and Solid State Physics, 2008
On the ruin probability for physical fractional Brownian motion
Stochastic Processes and their Applications, 2004
On the integral of fractional Poisson processes
Statistics & Probability Letters, 2013
Fractional Brownian Fields as Integrals of White Noise
Bulletin of the London Mathematical Society, 1993
Stochastic analysis of the fractional Brownian motion
Laurent Decreusefond, Ali Üstünel
Potential analysis, 1999
Proceedings of the National Workshop on Fractional Calculus and Statistical Distributions
Drifted Brownian motions governed by fractional tempered derivatives
Modern Stochastics: Theory and Applications, 2018
On the Generalized Fractional Brownian Motion
Mathematical Models and Computer Simulations, 2018
Random variables as pathwise integrals with respect to fractional Brownian motion
Stochastic Processes and their Applications, 2013
A Functional LIL and Some Weighted Occupation Measure Results for Fractional Brownian Motion
2002
OALib, 2016
Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
Proceedings of the American Mathematical Society, 2011
A version of Hörmander’s theorem for the fractional Brownian motion
2007
Elsevier eBooks, 2017
On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
Journal of Mathematical Analysis and Applications, 2009
Fractional diffusion and Levy stable processes
Physical Review E, 1997
On the mixed fractional Brownian motion
Journal of Applied Mathematics and Stochastic Analysis, 2006
Fractional brownian motion in finance and queueing
2003
Memory effects in fractional Brownian motion with Hurst exponent H<1/3
Physical Review E, 2010
Generalized fractional Brownian motion
Modern Stochastics: Theory and Applications, 2017
Time-fractional telegraph equations and telegraph processes with brownian time
Probability Theory and Related Fields, 2004
Alternative forms of fractional Brownian motion
On Gaussian Processes Equivalent in Law to Fractional Brownian Motion
Journal of Theoretical Probability, 2004
Spectral densities related to some fractional stochastic differential equations
Electronic Communications in Probability, 2016
Fractional diffusion equations and processes with randomly varying time
The Annals of Probability, 2009
A Dynamical Approach to Fractional Brownian Motion
Fractals, 1994
Statistics & Probability Letters, 2011
Path Properties of a Generalized Fractional Brownian Motion
Journal of Theoretical Probability, 2021
Stochastic integration with respect to fractional brownian motion
Annales de l'Institut Henri Poincare (B) Probability and Statistics, 2003
A Fractional Linear System View of the Fractional Brownian Motion
Nonlinear Dynamics, 2004
Some Results on Backward Stochastic Differential Equations of Fractional Order
Qualitative Theory of Dynamical Systems
Functional Limit Theorems for Multiparameter Fractional Brownian Motion
Journal of Theoretical Probability, 2006
LAN property for some fractional type Brownian motion
Fabrice Gamboa, Jean-michel Loubes
Arxiv preprint arXiv: …, 2011
arXiv (Cornell University), 2023
Occupation densities for certain processes related to fractional Brownian motion
Stochastics An International Journal of Probability and Stochastic Processes, 2010