Stochastic derivatives for fractional diffusions
نویسندگان
چکیده
منابع مشابه
Stochastic derivatives for fractional diffusions
In this paper, we introduce some fundamental notions related to the so-called stochastic derivatives with respect to a given σ-field Q. In our framework, we recall well-known results about Markov Wiener diffusions. We afterwards mainly focus on the case where X is a fractional diffusion and where Q is the past, the future or the present of X . We treat some crucial examples and our main result ...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 2007
ISSN: 0091-1798
DOI: 10.1214/009117906000001169