Stochastic integration with respect to fractional Brownian motion (Q1868111)
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scientific article; zbMATH DE number 1901032
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic integration with respect to fractional Brownian motion |
scientific article; zbMATH DE number 1901032 |
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Stochastic integration with respect to fractional Brownian motion (English)
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27 April 2003
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For every value of the Hurst index \(H\in (0,1)\), this paper defines a stochastic integral with respect to fractional Brownian motion of index \(H\) by approximating fractional Brownian motion. For \(H>1/6\), an Itô's change of variables formula is established which is more precise than Privault's Itô formula (1998) (established for every \(H>0\)), since it only involves anticipating integrals with respect to a driving Brownian motion.
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Gaussian process
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stochastic integral
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Malliavin calculus
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fractional integration
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0.99954677
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0.9579346
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0.9575183
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0.9495209
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