17 citations · 24 across the 6 of their papers we have counts for
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math.PR2015★ 1 cited
Integral representation with respect to fractional Brownian motion under a log-Hölder assumption
Taras Shalaiko, Georgiy Shevchenko
We show that if a random variable is the final value of an adapted log-Hölder continuous process, then it can be represented as a stochastic integral with respect to a fractional B…
math.PR2015
The relation between mixed and rough SDEs and its application to numerical methods
Andreas Neuenkirch, Taras Shalaiko
We study the relationship between mixed stochastic differential equations and the corresponding rough path equations driven by standard Brownian motion and fractional Brownian moti…