Integration with respect to fractal functions and stochastic calculus. II (Q2732536)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Integration with respect to fractal functions and stochastic calculus. II |
scientific article; zbMATH DE number 1623815
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Integration with respect to fractal functions and stochastic calculus. II |
scientific article; zbMATH DE number 1623815 |
Statements
21 April 2002
0 references
fractional integrals
0 references
fractional derivatives
0 references
stochastic integrals
0 references
0 references
Integration with respect to fractal functions and stochastic calculus. II (English)
0 references
The author continues to study the link between fractional and stochastic calculus established in part I [Probab. Theory Relat. Fields 111, No. 3, 333-374 (1998; Zbl 0918.60037)]. A fractional integral operator extending the Lebesgue-Stieltjes integral is studied and a related concept of stochastic integral which is similar to the so-called forward integral in stochastic integration theory is introduced. The results are applied to ordinary differential equations driven by fractal functions and to anticipative stochastic differential equations whose noise processes possess absolutely continuous generalized covariation processes.
0 references
