Skorohod integration and stochastic calculus beyond the fractional Brownian scale

By Oana Mocioalca, Frederi G. Viens. 2005

59 citations recorded by the source corpus.

Subfields: Computer Networks and Communications, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b4a1a958c405a8162d78d55542302234d25f65ee

How researchers see this paper

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

In Computer Networks and Communications

1. Jianfeng Zhang
2. Joachim Lebovits
3. Frederi G. Viens

In Economics and Econometrics

1. Jianfeng Zhang
2. Joachim Lebovits
3. Frederi G. Viens
4. Ivan Nourdin
5. T. T. Diu Tran
6. Shige Peng

In Finance

1. Jianfeng Zhang
2. Frederi G. Viens
3. Joachim Lebovits
4. Adrien Richou
5. Marcel Nutz
6. Christian Bender
7. Nizar Touzi
8. Jessica Steiner

Citations in the corpus

• Stochastic Calculus with Respect to Gaussian Processes (2014, background): “Thus, there is no hope to use [1] nor [38] in order to build a stochastic integral wrt Gaussian processes of the form (1.”
• A martingale approach for fractional Brownian motions and related path dependent PDEs (2017, methodology): “In addition, our framework also covers the fractional Stein-Stein model, where √ V is Gaussian and is the fractional Ornstein-Uhlenbeck process; see Comte & Renault [9], Chronopoulou & Viens [8], and Gulisashvili, Viens, & Zhang [26], and references therein.”
• Analysis of the Rosenblatt process (2006, unknown): “For results in this direction, we refer among others, to [17, 19, 26, 34], or [22].”
• Wiener integrals, Malliavin calculus and covariance measure structure (2006, unknown): “In this case, more concrete results can be proved, see [2, 9, 28].”