most citedGeneralized backward doubly stochastic differential equations and SPDEs with nonlinear Neumann boundary conditions

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math.ST2010★ 27 cited

Local time and Tanaka formula for a Volterra-type multifractional Gaussian process

Brahim Boufoussi, Marco Dozzi, Renaud Marty

The stochastic calculus for Gaussian processes is applied to obtain a Tanaka formula for a Volterra-type multifractional Gaussian process. The existence and regularity properties o…