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20122026
most citedStrong approximation of time-changed stochastic differential equations involving drifts with random and non-random integrators

18 citations · 23 across the 9 of their papers we have counts for

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Showing 2014 · math.PRShow all

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math.PR2014★ 2 cited

Fractional Hida Malliavin Derivatives and Series Representations of Fractional Conditional Expectations

Sixian Jin, Qidi Peng, Henry Schellhorn

We represent fractional conditional expectations of a functional of fractional Brownian motion as a convergent series in L^2 space. When the target random variable is some function…

math.PR2014★ 1 cited

A Representation Theorem for Smooth Brownian Martingales - New Example

Sixian Jin, Qidi Peng, Henry Schellhorn

We show that, under certain smoothness conditions, a Brownian martingale, when evaluated at a fixed time, can be represented via an exponential formula at a later time. The time-de…