Keywords: 60H30; 60G15; 60H07; Standardized random variables; Abstract Wiener spaces; Wick exponentials;
مقالات ISI (ترجمه نشده)
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Keywords: 60G15; 60H07; 60H10; Fractional Brownian motion; Rough differential systems; Mutual intersection;
Keywords: 60G15; 60G18; 60G22; 60H05; 60H07; Fractional Brownian motion; Divergence integral; Stochastic integral; Fractional Bessel process;
Keywords: 60F05; 60G18; 60H07; Central limit theorem; Breuer-Major theorem; Fourth Moment Theorem; Self-similar processes;
Keywords: primary; 60H15; 60G15; 60J45; secondary; 60G60; 60H07; Systems of stochastic Poisson equations; Hitting probabilities; Capacity; Hausdorff measure;
Fractional smoothness of derivative of self-intersection local times
Keywords: 60G15; 60H07; Smoothness; Derivative of self-intersection local time; Brownian motion; Fractional Brownian motion;
Keywords: stochastic partial differential equation; fractional Brownian motion; Malliavin calculus; Gaussian density estimates; 60G35; 60H07; 60H15;
Keywords: primary; 93E20; secondary; 49J53; 60H07; 60H10; Stochastic optimal control; Malliavin calculus; Necessary conditions; Adjacent cone; Variational equation; Adjoint equation;
Keywords: 60G22; 60H07; 91G30; Tail probabilities; Additive functionals; Malliavin calculus;
Keywords: primary; 60H07; secondary; 60F25; Malliavin calculus; Fractional Brownian motion; Non-central limit theorem; Power variation; Multiple stochastic integral;
Keywords: 60G57; 60G55; 60H07; Point process; Papangelou intensity; Factorial moment; Moment identity;
Keywords: 60H07; 60G55Point processes; Stochastic integral; Measure transformation; Malliavin calculus
Keywords: primary; 60F05; 60G15; secondary; 60H07; Stein's method; Normal distribution; Hermite polynomial; Wiener chaos; Non-central chi-square distribution;
Malliavin differentiability of indicator functions on canonical Lévy spaces
Keywords: primary; 60H07; secondary; 60G51; Malliavin calculus; Lévy processes; Indicator functions; Digital options;
Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian Motions
Keywords: Backward stochastic differential equations; malliavin calculus; fractional Brownian motions; Itô; formula; 60H07; 60H20;
Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
Keywords: 60G22; 60H07; 62F99; Least squares estimators; Vasicek processes; Sub-fractional Brownian motions; Strong consistency; Asymptotic distributions;
Optimal Berry-Esseen bound for parameter estimation of SPDE with small noise
Keywords: 60H07; 60F25; Malliavin calculus; Stochastic partial differential equations; Berry-Esseen bound; Maximum likelihood estimator; Multiple stochastic integral; Stein's method; Central limit theorem; Kolmogorov distance;
Discretizing Malliavin calculus
Keywords: 60H07; 60H05; 60F25; Malliavin calculus; Strong approximation; Stochastic integrals; S-transform; Chaos decomposition; Invariance principle;
Conditional Stein approximation for Itô and Skorohod integrals
Keywords: 60H07; 62E17; 60G15; 60H05; Stein method; Malliavin calculus; Edgeworth expansions; Stochastic integral; Conditioning; Quadratic Brownian functionals;
Optimal Berry-Esseen bound for an estimator of parameter in the Ornstein-Uhlenbeck process
Keywords: primary; 60H07; secondary; 60F25; Malliavin calculus; Ornstein-Uhlenbeck process; Berry-Esseen bound; Maximum likelihood estimator; Multiple stochastic integral; Edgeworth expansion;
Optimal Berry-Esseen bound for statistical estimations and its application to SPDE
Keywords: primary; 60H07; secondary; 60F25; Berry-Esseen bound; Central limit theorem; Kolmogorov distance; Malliavin calculus; Maximum likelihood estimator; Multiple stochastic integral; Stein's method; Stochastic partial differential equations;
A general non-existence result for linear BSDEs driven by Gaussian processes
Keywords: 60G15; 60H10; 60H07; BSDEs; Gaussian processes; Skorokhod integration;
Adaptive importance sampling in least-squares Monte Carlo algorithms for backward stochastic differential equations
Keywords: 49L20; 60H07; 62Jxx; 65C30; 93E24; Backward stochastic differential equations; Empirical regressions; Importance sampling;
Berry-Esseen Type bound of a sequence {XNYN} and its application
Keywords: primary; 60H07; secondary; 60F25; Malliavin calculus; Stochastic partial differential equation; Maximum likelihood estimator; Cylindrical Brownian motion; Multiple stochastic integral; Berry-Esseen bound;
Optimal control of systems with noisy memory and BSDEs with Malliavin derivatives
Keywords: 93EXX; 93E20; 60J75; 60H07; 34K50Stochastic control; Noisy memory; Maximum principle; Malliavin derivative
Convergence rate of maximum likelihood estimator of parameter in stochastic partial differential equation
Keywords: 60H07; 60H30Malliavin calculus; Stochastic partial differential equation; Maximum likelihood estimator; Cylindrical Brownian motion; Multiple stochastic integral
Asymptotic properties of stochastic Cahn–Hilliard equation with singular nonlinearity and degenerate noise
Keywords: 60H15; 60H07; 37L40Ergodicity; Cahn–Hilliard; Stochastic partial differential equations; Singular nonlinearity; Degenerate noise
On the 1H-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter H<12
Keywords: 60H05; 60H07; 60G18; Fractional Brownian motion; Malliavin calculus; Skorohod integral; Fractional Bessel processes;
A generalised ItÅ formula for Lévy-driven Volterra processes
Keywords: 60G22; 60H05; 60H07; Fractional Lévy process; ItÅ formula; Skorokhod integral; Stochastic convolution; S-transform;
Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data
Keywords: 60H07; 91G80; 93D15; Malliavin calculus; Volatility feedback effect; Leverage effect; Fourier method;
Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
Keywords: primary; 60H07; secondary; 60H10; 62G07; Smoothness of density; Stochastic differential equation; Semi-monotone drift; Malliavin calculus; Hörmander condition;
Identification of a noncausal Itô process from the stochastic Fourier coefficients
Keywords: 60H05; 42A61; 60H07; Stochastic integrals; Stochastic Fourier coefficient; Noncausal function; Brownian motion; Bohr convolution; Homogeneous chaos;
Malliavin differentiability of solutions of rough differential equations
Keywords: 60H07; 60H99; 60G15Rough path theory; Malliavin calculus; Gaussian process
The total variation distance between two double Wiener-Itô integrals
Keywords: 60F05; 60G15; 60H05; 60H07; Convergence in total variation; Malliavin calculus; Double Wiener-Itô integral; Rosenblatt process;
Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum
Keywords: 60H07; 60H10Absolutely continuous law; Stochastic differential equation; Malliavin calculus
Malliavin regularity of solutions to mixed stochastic differential equations
Keywords: 60H10; 60H07; 60G22Mixed stochastic differential equation; Fractional Brownian motion; Wiener process; Malliavin regularity
Estimates for the density of functionals of SDEs with irregular drift
Keywords: 60H07; 60H10; Stochastic differential equations; Density; Malliavin calculus; Irregular drift;
Characterization of infinite divisibility by duality formulas. Application to Lévy processes and random measures
Keywords: 60H07; 60G51; 60G57Duality formula; Integration by parts formula; Malliavin calculus; Infinite divisibility; Lévy processes; Random measures
Convergence in total variation on Wiener chaos
Keywords: 60F05; 60G15; 60H05; 60H07; Convergence in distribution; Convergence in total variation; Malliavin calculus; Multiple Wiener-Itô integral; Wiener chaos;
Fine Gaussian fluctuations on the Poisson space II: Rescaled kernels, marked processes and geometric UU-statistics
Keywords: 60H07; 60F05; 60G55; 60D05Central limit theorems; Contractions; Malliavin calculus; Poisson space; Stein’s method; Stochastic geometry; UU-statistics; Wasserstein distance; Wiener chaos
Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
Keywords: 60H07; 60G15; 60G22Subfractional Brownian motion; Malliavin calculus; Weighted quadratic variation
Functions of bounded variation on the classical Wiener space and an extended Ocone–Karatzas formula
Keywords: 60H07; 60J65; 28C20BVBV functions; Wiener space; Ocone–Karatzas formula
A central limit theorem for the Poisson-Voronoi approximation
Keywords: primary; 60D05; 60F05; secondary; 60G55; 60H07; Central limit theorem; Poisson point process; Poisson-Voronoi approximation; Random tessellation; Set reconstruction; Stochastic geometry; Wiener-Itô chaos expansion;
The scaling limit of Poisson-driven order statistics with applications in geometric probability
Keywords: primary; 60F17; 60D05; 62G32; secondary; 60G55; 60H07; Chen-Stein method; Extreme values; Geometric probability; Integral geometry; Limit theorems; Malliavin calculus; Order statistics; Poisson flats; Poisson process approximation; Poisson space; Random
Remarks on sub-fractional Bessel processes
Keywords: sub-fractional Brownian motion; Malliavin calculus; sub-fractional Bessel processes; chaos expansion60G18; 60H07
Riesz transform and integration by parts formulas for random variables
Keywords: 60H07; 46E35Riesz transform; Integration by parts; Malliavin calculus; Sobolev spaces
Rough Volterra equations 2: Convolutional generalized integrals
Keywords: 60H05; 60H07; 60G15Rough paths theory; Stochastic Volterra equations; Fractional Brownian motion
Sensitivity analysis for averaged asset price dynamics with gamma processes
Keywords: 60E07; 60G51; 91B70; 60H07
Wick integration with respect to fractional Brownian sheet
Keywords: primary; 60H07; secondary; 60G18; Fractional Brownian sheet; Itô formula; White noise theory; Wick integral;
Adaptive stochastic weak approximation of degenerate parabolic equations of Kolmogorov type
Keywords: 35K65; 60H07; 60H30; 65C05; 91B28Degenerate parabolic; Weak approximation; Adaptivity; Malliavin calculus; Option pricing