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Mathematics: Recent submissions
Now showing items 461-462 of 462
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Ito-Wiener chaos expansion with exact residual and correlation, variance inequalities
(1997-10)We give a formula of expanding the solution of a stochastic differential equation (abbreviated as SDE) into a finite Ito-Wiener chaos with explicit residual. And then we apply this formula to obtain several inequalities ... -
Stochastic calculus for fractional Brownian motion - I. Theory
(SIAM PUBLICATIONS, 2000-02-02)In this paper a stochastic calculus is given for the fractional Brownian motions that have the Hurst parameter in (1/2, 1). A stochastic integral of Ito type is defined for a family of integrands so that the integral has ...