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math.PR2023
A criterion for absolute continuity relative to the law of fractional Brownian motion
Xiyue Han, Alexander Schied
Let be the sum of a fractional Brownian motion with Hurst parameter and an absolutely continuous and adapted drift process. We establish a simple criterion that guarantees…
math.PR2023
Weierstrass Bridges
Alexander Schied, Zhenyuan Zhang
We introduce a new class of stochastic processes called fractional Wiener-Weierstrass bridges. They arise by applying the convolution from the construction of the classical, fracta…