Stieltjes Integrals of Hölder Continuous Functions with Applications to Fractional Brownian Motion
By A. Ruzmaikina. 2000
71 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/eb1d3eacfcffd496ff46e7eef97fe82d93c0dc9f
How researchers see this paper
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In Economics and Econometrics
- David Nualart
- Antoine Lejay
- Laure Coutin
- A. Rășcanu
- Gérard Montseny
- P. Carmona
- Sreekar Vadlamani
- Christian Bender
In Finance
- David Nualart
- Laure Coutin
- Antoine Lejay
- A. Rășcanu
- Gérard Montseny
- P. Carmona
- Sreekar Vadlamani
- Yaozhong Hu
Citations in the corpus
- Stochastic integration with respect to fractional brownian motion (2003, methodology): “An extension of Riemann–Stieltjes integral has been defined by Zahle [33], see also the recent work of Ruzmaikina [ 29 ], by means of composition formulas, integration by parts formula, Weyl derivative formula concerning fractional integration/differentiation, and the generalized quadratic variation”
- Controlled differential equations as Young integrals: A simple approach (2010, methodology): “Other authors have used the definition of Young integrals in order to define solution to differential equations controlled by Hölder continuous paths and the technique used in [35] is rather close to ours.”
- An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion (2007, methodology): “Now, we apply the results of Section 3.1 to fractional Brownian motion with Hurst parameter H ∈ ]1/2, 1[. The reader can also see the paper of Ruzmaikina, [ Ruz00 ].”
- Differential equations driven by fractional Brownian motion (2002, background): “This kind of equation has been studied by several authors ([10], [12], [13], [14], [19]).”
- Existence and Uniqueness of the Solution of Stochastic Differential Equation Involving Wiener Process and Fractional Brownian Motion with Hurst Index H > 1/2 (2011, unknown): “The papers [7, 13, 14] were the first to prove existence and uniqueness of stochastic differential equations involving such integrals.”
- On the Diffusion of Shape (2007, result): “Elsewhere, Ruzmaikina [33] independently, obtained similar results by approximating the stochastic integral by a Riemann-Stieltjes sum.”