Forward integration of bounded variation coefficients with respect to Hölder continuous processes-Reference-Cited by-同舟云学术

Forward integration of bounded variation coefficients with respect to Hölder continuous processes

Published:2023-08-01 Issue:3 Volume:29 Page:
ISSN:1350-7265
Container-title:Bernoulli
language:
Short-container-title:Bernoulli

Author:

Garzón Johanna¹,León Jorge A.²,Torres Soledad³

Affiliation:

1. Departamento de Matemáticas, Universidad Nacional de Colombia, Bogotá, Colombia

2. Departamento de Control Automático, Cinvestav-IPN, Ciudad de México, México

3. Facultad de Ingeniería, CIMFAV, Universidad de Valparaíso, Valparaíso, Chile

Publisher

Bernoulli Society for Mathematical Statistics and Probability

Subject

Statistics and Probability

Reference21 articles.

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2. Alòs, E. and Nualart, D. (2003). Stochastic integration with respect to the fractional Brownian motion. Stoch. Stoch. Rep. 75 129–152. 10.1080/1045112031000078917

3. Azmoodeh, E., Mishura, Y. and Valkeila, E. (2009). On hedging European options in geometric fractional Brownian motion market model. Statist. Decisions 27 129–143. 10.1524/stnd.2009.1021

4. Azmoodeh, E. and Viitasaari, L. (2015). Rate of convergence for discretization of integrals with respect to fractional Brownian motion. J. Theoret. Probab. 28 396–422. 10.1007/s10959-013-0495-y

5. Besalú, M. and Nualart, D. (2011). Estimates for the solution to stochastic differential equations driven by a fractional Brownian motion with Hurst parameter $H\in (\frac{1}{3},\frac{1}{2})$ . Stoch. Dyn. 11 243–263. 10.1142/S0219493711003267

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