Integral Transformations and Anticipative Calculus for Fractional Brownian Motions

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Subfields: Finance

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The Chronicles of Fractional Calculus (2017, unknown): “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] ”
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.”
Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities (2011, methodology): “Then one can define the iterated integral (see [5, 8, 9] ) In(fn) = n! ∫”
Differential Equations Driven by Hölder Continuous Functions of Order Greater than 1/2 (2006, unknown): “([1]).”