An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion-Reference-Cited by-同舟云学术

An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion

Published:2004-01-08 Issue:2041 Volume:460 Page:347-372
ISSN:1364-5021
Container-title:Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences
language:en
Short-container-title:Proc. R. Soc. Lond. A

Author:

Biagini Francesca¹,Øksendal Bernt²³,Sulem Agnès⁴,Wallner Naomi⁵

Affiliation:

1. Department of Mathematics, University of BolognaItaly, Piazza di Porta S. Donato, 5, 40127 Bologna, Italy ()

2. Department of Mathematics, University of Oslo, Box 1053 Blindern, 0316 Oslo, Norway ()

3. Norwegian School of Economics and Business Administration, Helleveien 30, 5045 Bergen, Norway

4. INRIA, Domaine de Voluceau, Rocquencourt, BP 105, 78153 Le Chesnay Cedex, France ()

5. Department of Mathematics, University of Oxford, 24–29 St Giles', Oxford OX1 3LB, UK ()

Publisher

The Royal Society

Subject

General Physics and Astronomy,General Engineering,General Mathematics

Link

https://royalsocietypublishing.org/doi/pdf/10.1098/rspa.2003.1246

Reference34 articles.

1. White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance

2. Stochastic calculus with respect to Gaussian processes;Alòs E.;Ann. Prob.,2000

3. An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter

4. Biagini F. & Øksendal B. 2004 Minimal variance hedging for fractional Brownian motion. Preprint University of Oslo 1/2002. Meth. Appl. Analysis. (In the press.)

5. A stochastic maximum principle for processes driven by fractional Brownian motion

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