P. Parczewski

activity

20102017

most citedApproximating a geometric fractional Brownian motion and related processes via discrete Wick calculus

6 citations · 6 across the 1 of their papers we have counts for

collaborators

3 papers

math.PR2017

Extensions of the Hitsuda-Skorokhod integral

Peter Parczewski

We present alternative definitions of the stochastic integral introduced by Ayew and Kuo and of the Hitsuda-Skorokhod integral extended to domains in $L^{p}$ -spaces, $p \geq 1$ . Our…

math.PR2016

Discretizing Malliavin calculus

Christian Bender, Peter Parczewski

Suppose $B$ is a Brownian motion and $B^{n}$ is an approximating sequence of rescaled random walks on the same probability space converging to $B$ pointwise in probability. We provid…

math.ST2010★ 6 cited

Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus

Christian Bender, Peter Parczewski

We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion $B^{H}$ with Hurst parameter $H \in (\frac{1}{2}, 1)$ in the Wick--Itô sense, including…