Stochastic integration with respect to fractional brownian motion

By P. Carmona, Laure Coutin, Gérard Montseny. 2003

142 citations recorded by the source corpus.

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/7df243bf02d9211225f94c0df30589a09e54edd7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Laure Coutin
2. Peter K. Friz
3. Nicolas Perkowski
4. Zhongmin Qian
5. Rama Cont
6. Paolo Guasoni
7. David Nualart
8. Nicolas Victoir

In Mathematical Physics

1. Nicolas Perkowski
2. Rama Cont
3. Zhongmin Qian
4. Paolo Guasoni
5. Laure Coutin
6. Massimiliano Gubinelli
7. Peter K. Friz
8. Hendrik Weber

Citations in the corpus

• Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity (2018, background): “Integration theory and change of variables formulas for processes with infinite quadratic variation, such as fractional Brownian motion and other fractional processes, have relied on probabilistic, rather than pathwise constructions [5, 9, 18].”
• Stochastic analysis, rough path analysis and fractional Brownian motions (2002, methodology): “The following sufficient condition on K that ensures that the Gaussian process WK is absolutely continuous with respect to the Lebesgue measure was given in [ CC1 ].”
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006, background): “There are various characterizations of the RKHS of Fractional Brownian Motion in the literature, including Barton & Poor (1988), Decreusefond & Üstünel (1999) and Pipiras & Taqqu (2000) (see Decreusefond (2003) for a recent survey).”