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- W2964010092 abstract "We construct the basis of a stochastic calculus for so-called Volterra processes, i.e., processes which are defined as the stochastic integral of a time-dependent kernel with respect to a standard Brownian motion. For these processes which are natural generalization of fractional Brownian motion, we construct a stochastic integral and show some of its main properties: regularity with respect to time and kernel, transformation under an absolutely continuous change of probability, possible approximation schemes and Ito formula." @default.
- W2964010092 created "2019-07-30" @default.
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- W2964010092 date "2003-02-05" @default.
- W2964010092 modified "2023-09-25" @default.
- W2964010092 title "Stochastic Integration with respect to Volterra processes" @default.
- W2964010092 hasPublicationYear "2003" @default.
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