Free Access
Volume 11, February 2007
Special Issue: "Stochastic analysis and mathematical finance" in honor of Nicole El Karoui's 60th birthday
Page(s) 115 - 146
Published online 31 March 2007
  1. J. Audounet, G. Montseny and B. Mbodje, A simple viscoelastic damper model — application to a vibrating string. Analysis and optimization of systems: state and frequency domain approaches for infinite-dimensional systems (Sophia-Antipolis, 1992), Lect. Notes Control Inform. Sci. 185, Springer, Berlin (1993) 436–446.
  2. A. Ayache, S. Léger and M. Pontier, Les ondelettes à la conquête du drap brownien fractionnaire. CRAS série I 335 (2002) 1063–1068.
  3. A. Ayache and M. Taqqu, Rate optimality of wavelet series approximations of fractional Brownian motion. J. Fourier Anal. Appl. 9 (2003) 451–471. [CrossRef] [MathSciNet]
  4. J.M. Bardet, G. Lang, G. Oppenheim, A. Philippe and M. Taqqu, Generators of long-range dependent processes: a survey, in Long-Range dependence, Theory and Applications. Birkhauser (2003) 579–623.
  5. O.E. Barndorff-Nielsen and N. Shephard, Non Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. J.R. Statistical Society B 63 (2001) 167–241.
  6. S. Bernam, Gaussian processes with stationary increments local times and sample function properties. Ann. Math. Statist. 41 (1970) 1260–1272. [CrossRef] [MathSciNet]
  7. P. Carmona, L. Coutin and G. Montseny, Approximation of some Gaussian processes. Stat. Inference of Stoch. Processes 3 (2000) 161–171. [CrossRef]
  8. S. Cohen, Champs localement auto-similaires, dans Lois d'échelle, fractales et ondelettes 1, P. Abry, P. Goncalvès, J. Lévy Véhel, Eds. (2001).
  9. X.M. Fernique, Régularité des trajectoires des fonctions aléatoires gaussiennes, in École d'été de probabilités de saint-Flour L. N. in Math 480 (1974) 1–96.
  10. E. Igloi and G. Terdik, Long-range dependence through gamma-mixed Ornstein-Uhlenbeck process. E.J.P. 4 (1999) 1–33.
  11. N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes. North-Holland, Amsterdam (1981).
  12. I. Karatzas and S.E. Schreve, Brownian Motion and Stochastic Calculus. Springer, 2d edition (1999).
  13. S. Léger, Drap brownien fractionnaire, thèse à l'Université d'Orléans (2000).
  14. S. Léger and M. Pontier, Drap brownien fractionnaire, in C.R.A.S., Paris, série I 329 (1999) 893–898.
  15. Y. Meyer, F. Sellan and M. Taqqu, Wavelets, generalized white noise and fractional integration: the synthesis of fractional Brownian motion. Journal of Fourier Analysis and Applications 5 (1999) 465–494. [CrossRef] [MathSciNet]
  16. D. Revuz and M. Yor, Continuous Martingales and Brownian Motion. Springer-Verlag, Berlin (1990).
  17. G. Samorodnitsky and M. Taqqu, Stable Non-Gaussian random Processes, Stochastic Modeling. Chapman and Hall, New York (1994).
  18. D.W. Stroock, A Concise Introduction to the Theory of Integration Stochastic Integration. Birkhauser, 2d edition (1994).
  19. A.T.A. Wood and G. Chan, A Simulation of stationary Gaussian processes in [0,1]d. J. Comput. Graphical Statist. 3–4 (1994) 409–432. [CrossRef]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.