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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…