Stochastic Calculus for Fractional Brownian Motion and Applications

By Francesca Biagini, Yaozhong Hu, Bernt Øksendal, Tusheng Zhang. 2008

1,185 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/26d78c90be2b41d4edf604e1aff17fc526ac5613

How researchers see this paper

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In Finance

1. David Nualart
2. Weilin Xiao
3. Yaozhong Hu
4. Jun Yu
5. Hongjuan Zhou
6. Lucian Maticiuc
7. Tianyang Nie
8. Weilin Xiao

Citations in the corpus

• Parameter estimation for fractional Ornstein–Uhlenbeck processes (2009, background): “where ∫ T 0 XtdB H t is a divergence-type integral (see [1], [3], [4], [7] and the references therein), and we call it the least squares estimator.”
• ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (2018, background): “For more complete treatments on the subject, see Nualart (2006), Biagini et al. (2008), Mishura (2008) and references therein.”
• Stochastic averaging principle for differential equations with non-Lipschitz coefficients driven by fractional Brownian motion (2017, methodology): “154 there) to introduce the forward and backward integrals, and the reader is referred to [2] for more detailed explanations.”
• Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities (2011, background): “9 [7], we deduce that hn,s is measurable w.”
• Exact maximum likelihood estimators for drift fractional Brownian motions (2009, background): “…1, WEILIN XIAO 2 AND WEIGUO ZHANG2 University of Kansas and South China University of Technology This paper deals with the problems of consistence and strongc sistence of the maximum likelihood estimators of the mean and variance of the drift fractional Brownian motions observed at discrete time…”
• The Chronicles of Fractional Calculus (2017, neutral): “1980-1989 [183, 184, 146, 136, 162, 176, 137, 138] [125] 1990 [186] [68] 1991 [140, 139, 147, 61] 1992 [182, 33, 177, 130] [80] 1993 1994 [206, 85] 1995 [148] [172] 1996 [141, 170] 1997 [34, 118] 1998 [128] [173, 123] 1999 [158, 150, 193, 199] 2000 [67] 2001 [9, 13] [16] 2002 [201, 157, 54, 73, 72] ”