We consider a new proof on the differentiation formula in Stratonovich type for fractional Brownian sheet. Our proof is based on the repeated applications of differentiation formulas in Stratonovich form for a one-parameter Gaussian process.
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다국어 초록 (Multilingual Abstract)
We consider a new proof on the differentiation formula in Stratonovich type for fractional Brownian sheet. Our proof is based on the repeated applications of differentiation formulas in Stratonovich form for a one-parameter Gaussian process.
We consider a new proof on the differentiation formula in Stratonovich type for fractional
Brownian sheet. Our proof is based on the repeated applications of differentiation formulas
in Stratonovich form for a one-parameter Gaussian process.
참고문헌 (Reference)
1 Kim, Y. T, "Various types of stochastic integrals with respect to fractional Brownian sheet and their applications" 341 : 1382-1398, 2008
2 Kim, Y.T, "Stratonovich calculus with respect to fractional Brownian sheet" submitted for publication 2008
3 Alòs, E, "Stochastic integration with respect to the fractional Brownian motion" 75 (75): 129-152, 2003
4 Alòs, E, "Stochastic calculus with respect to gaussian processes" 29 (29): 766-801, 2001
5 Tudor, C. A, "Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator" 78 (78): 443-462, 2006
6 Tudor, C. A, "Itô formula and local time for the fractional Brownian sheet" 8 (8): 1-31, 2003
7 Russo, F, "Forward, backward and symmetric stochastic integration" 97 : 403-421, 1993
8 Kim, Y. T, "An Itô formula of generalized functionals and local time for fractional Brownian sheet" 24 : 937-997, 2006
9 Kim, Y. T, "An Itô formula for fractional Brownian sheet with arbitrary Hurst parameters" 134 : 3677-3683, 2006
1 Kim, Y. T, "Various types of stochastic integrals with respect to fractional Brownian sheet and their applications" 341 : 1382-1398, 2008
2 Kim, Y.T, "Stratonovich calculus with respect to fractional Brownian sheet" submitted for publication 2008
3 Alòs, E, "Stochastic integration with respect to the fractional Brownian motion" 75 (75): 129-152, 2003
4 Alòs, E, "Stochastic calculus with respect to gaussian processes" 29 (29): 766-801, 2001
5 Tudor, C. A, "Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator" 78 (78): 443-462, 2006
6 Tudor, C. A, "Itô formula and local time for the fractional Brownian sheet" 8 (8): 1-31, 2003
7 Russo, F, "Forward, backward and symmetric stochastic integration" 97 : 403-421, 1993
8 Kim, Y. T, "An Itô formula of generalized functionals and local time for fractional Brownian sheet" 24 : 937-997, 2006
9 Kim, Y. T, "An Itô formula for fractional Brownian sheet with arbitrary Hurst parameters" 134 : 3677-3683, 2006
Goodness-of-fit test using residuals in infinite-order autoregressive models
Fractional integrated GARCH diffusion limit models
Forecasting functional time series
학술지 이력
연월일 | 이력구분 | 이력상세 | 등재구분 |
---|---|---|---|
2022 | 평가예정 | 해외DB학술지평가 신청대상 (해외등재 학술지 평가) | |
2021-12-01 | 평가 | 등재후보 탈락 (해외등재 학술지 평가) | |
2020-12-01 | 평가 | 등재후보로 하락 (해외등재 학술지 평가) | |
2011-01-01 | 평가 | 등재학술지 유지 (등재유지) | |
2009-01-01 | 평가 | 등재학술지 유지 (등재유지) | |
2008-09-17 | 학술지명변경 | 한글명 : Journal of the Korean StatisticalSociety -> Journal of the Korean Statistical Society외국어명 : Journal of the Korean StatisticalSociety -> Journal of the Korean Statistical Society | |
2007-01-01 | 평가 | 등재학술지 유지 (등재유지) | |
2005-01-01 | 평가 | 등재학술지 유지 (등재유지) | |
2002-01-01 | 평가 | 등재학술지 선정 (등재후보2차) | |
1999-07-01 | 평가 | 등재후보학술지 선정 (신규평가) |
학술지 인용정보
기준연도 | WOS-KCI 통합IF(2년) | KCIF(2년) | KCIF(3년) |
---|---|---|---|
2016 | 0.51 | 0.14 | 0.37 |
KCIF(4년) | KCIF(5년) | 중심성지수(3년) | 즉시성지수 |
0.29 | 0.25 | 0.352 | 0.11 |