相关论文: From forward integrals to Wick-It\^o integrals: th…

As an extension of isotropic Gaussian random fields and Q-Wiener processes on d-dimensional spheres, isotropic Q-fractional Brownian motion is introduced and sample H\"older regularity in space-time is shown depending on the regularity of…

This paper derives the non-analytic solution to the Fokker-Planck equation of fractional Brownian motion using the method of Laplace transform. Sequentially, by considering the fundamental solution of the non-analytic solution, this paper…

Following the ideas of F. Russo and P. Vallois we use the notion of forward integral to introduce a new stochastic integral respect to the cylindrical Winer process. This integral is an extension of the classical integral. As an…

We establish It\^o's formula along flows of probability measures associated with general semimartingales; this generalizes existing results for flows of measures on It\^o processes. Our approach is to first establish It\^o's formula for…

Let ${\mathscr L}^H(x,t)=2H\int_0^t\delta(B^H_s-x)s^{2H-1}ds$ be the weighted local time of fractional Brownian motion $B^H$ with Hurst index $1/2<H<1$. In this paper, we use Young integration to study the integral of determinate functions…

We consider a class of stochastic differential equations driven by a one dimensional Brownian motion and we investigate the rate of convergence for Wong-Zakai-type approximated solutions. We first consider the Stratonovich case, obtained…

For $0<\alpha \leq 2$ and $0<H<1$, an $\alpha$-time fractional Brownian motion is an iterated process $Z = \{Z(t)=W(Y(t)), t \ge 0\}$ obtained by taking a fractional Brownian motion $\{W(t), t\in \RR{R} \}$ with Hurst index $0<H<1$ and…

For every $d\geq 1$, we consider the $d$-dimensional Hermitian fractional Brownian motion (HfBm), that is the process with values in the space of $(d\times d)$-Hermitian matrices and with upper-diagonal entries given by complex fractional…

In this paper we investigate classical solution of a semi-linear system of backward stochastic integral partial differential equations driven by a Brownian motion and a Poisson point process. By proving an It\^{o}-Wentzell formula for jump…

In this paper, we will evaluate integrals that define the conditional expectation, variance and characteristic function of stochastic processes with respect to fractional Brownian motion (fBm) for all relevant Hurst indices, i.e. $H \in…

The aim of this paper is to develop a sequence of discrete approximations to a one-dimensional It\^o diffusion that almost surely converges to a weak solution of the given stochastic differential equation. Under suitable conditions, the…

We study the convergence to the multiple Wiener-It\^{o} integral from processes with absolutely continuous paths. More precisely, consider a family of processes, with paths in the Cameron-Martin space, that converges weakly to a standard…

Given a Gaussian stationary increment processes with spectral density, we show that a Wick-Ito integral with respect to this process can be naturally obtained using Hida's white noise space theory. We use the Bochner-Minlos theorem to…

We introduce fractional Brownian motion processes (fBm) as an alternative model for the turbulent index of refraction. These processes allow to reconstruct most of the index properties, but they are not differentiable. We overcome the…

We consider optimal approximation with respect to the mean square error of It\^o integrals and Skorohod integrals given an equidistant discretization of the Brownian motion. We obtain for suitable integrands optimal rates smaller than the…

Using recent results on the behavior of multiple Wiener-It\^o integrals based on Stein's method, we prove Hsu-Robbins and Spitzer's theorems for sequences of correlated random variables related to the increments of the fractional Brownian…

Stochastic integration \textit{wrt} Gaussian processes has raised strong interest in recent years, motivated in particular by its applications in Internet traffic modeling, biomedicine and finance. The aim of this work is to define and…

We consider convolution-type stochastic Volterra equations with additive Hilbert-valued fractional Brownian motion, $0<H<1$. We find the weak solution to this stochastic Volterra equation, and study its stochastic integral part, the…

We first state a special type of It\^o formula involving stochastic integrals of both standard and fractional Brownian motions. Then we use Doss-Sussman transformation to establish the link between backward doubly stochastic differential…

The purpose of this paper is to establish the convergence in law of the sequence of "midpoint" Riemann sums for a stochastic process of the form f'(W), where W is a Gaussian process whose covariance function satisfies some technical…