16 citations · 19 across the 6 of their papers we have counts for
6 papers
Local Times of Gaussian Processes
Joachim Lebovits
The aim of this work is to define and perform a study of local times of all Gaussian processes that have an integral representation over a real interval (that maybe infinite). Very…
Stochastic Calculus with respect to Gaussian Processes: Part I
Joachim Lebovits
Stochastic integration \textit{wrt} Gaussian processes has raised strong interest in recent years, motivated in particular by its applications in Internet traffic modeling, biomedi…
Estimation of the global regularity of a multifractional Brownian motion
Joachim Lebovits, Mark Podolskij
This paper presents a new estimator of the global regularity index of a multifractional Brownian motion. Our estimation method is based upon a ratio statistic, which compares the r…
Stochastic Calculus with respect to Gaussian Processes
Joachim Lebovits
Stochastic integration with respect to Gaussian processes, such as fractional Brownian motion (fBm) or multifractional Brownian motion (mBm), has raised strong interest in recent y…
From Stochastic Integration wrt Fractional Brownian Motion to Stochastic Integration wrt Multifractional Brownian Motion
Joachim Lebovits
Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic m…
Stochastic Calculus with respect to multifractional Brownian motion
Joachim Lebovits, Jacques Lévy Vehel
Stochastic calculus with respect to fractional Brownian motion (fBm) has attracted a lot of interest in recent years, motivated in particular by applications in finance and Interne…