Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion

By J. Mémin, Yuliya S. Mishura, Esko Valkeila. 2001

202 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/fbdaf0a901d5083b305b74c82b24e89f918f2cce

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. David Nualart
2. Ciprian A. Tudor
3. Ivan Nourdin
4. Pierre Vallois
5. Francesco Russo
6. Yaozhong Hu
7. R. Balan
8. Mihai Gradinaru

In Management Science and Operations Research

1. Ciprian A. Tudor
2. Yaozhong Hu
3. David Nualart
4. C. Rovira
5. Marco Ferrante
6. A. Melnikov
7. Yuriy Kozachenko
8. Yuliya S. Mishura

In Mathematical Physics

1. Ciprian A. Tudor
2. David Nualart
3. Francesco Russo
4. Pierre Vallois
5. Yaozhong Hu
6. R. Balan
7. Mihai Gradinaru
8. Yanghui Liu

Citations in the corpus

• Stochastic Heat Equation with Multiplicative Fractional-Colored Noise (2008, background): “If H > 1/2, it was proved in [ 18 ] that there exists �H > 0 such that”
• On drift parameter estimation in models with fractional Brownian motion (2011, methodology): “In what follows we apply the following formulae from [18,19] for Wiener integrals w.”
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index H>=1/4 (2003, background): “Other significant and interesting references about stochastic calculus with fractional Brownian motion, especially for H > 12 , are [12, 13, 24, 29, 30].”
• Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions (2014, background): “6) for some constant bH,l > 0; the case l= 1 was proved in [16], and the extension to general case is easy; see [9], equation (2.”
• Fractional Backward Stochastic Differential Equations and Fractional Backward Variational Inequalities (2011, background): “Moreover, from [14], we have the continuous embedding L2([0, T ]) ⊂ L 1 H ([0, T ]) ⊂ |H| ⊂ H.”
• Fractional Brownian motion (2006, methodology): “The following estimate has been proved in [31] using Hölder and Hardy–Littlewood inequalities.”
• Stochastic delay differential equations driven by fractional Brownian motion with Hurst parameter H (2006, methodology): “The continuous embedding L ([0, T ]) jHj has been proved in Mémin et al. (2001).”