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5 papers · 2 filters
Central limit theorem for functionals of two independent fractional Brownian motions
David Nualart, Fangjun Xu
We prove a central limit theorem for functionals of two independent -dimensional fractional Brownian motions with the same Hurst index in using…
Markov Chain Approximations to Singular Stable-like Processes
Fangjun Xu
We consider the Markov chain approximations for singular stable-like processes. First we obtain properties of some Markov chains. Then we construct the approximating Markov chains…
CLT for an iterated integral with respect to fBm with H > 1/2
Daniel Harnett, David Nualart
We construct an iterated stochastic integral with fractional Brownian motion with H > 1/2. The first integrand is a deterministic function, and each successive integral is with res…
Absolute continuity and convergence of densities for random vectors on Wiener chaos
Ivan Nourdin, David Nualart, Guillaume Poly
The aim of this paper is to establish some new results on the absolute continuity and the convergence in total variation for a sequence of d-dimensional vectors whose components be…
Malliavin calculus for backward stochastic differential equations and application to numerical solutions
Yaozhong Hu, David Nualart, Xiaoming Song
In this paper we study backward stochastic differential equations with general terminal value and general random generator. In particular, we do not require the terminal value be g…