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FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION - MaRDI portal

FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION (Q3519916)

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FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION
scientific article

    Statements

    title
    FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION (English)
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    author
    Francesca Biagini
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    Bernt Øksendal
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    publication date
    19 August 2008
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    zbMATH Keywords
    stochastic integrals
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    Itô formula
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    fractional Brownian motion
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    Wick-Itô-Skorochod integral
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    Malliavin derivative
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    Identifiers

    Mathematics Subject Classification ID
    60H05
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    60G15
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    60G18
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    60H07
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    60H40
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    60H10
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    zbMATH DE Number
    5313666
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    OpenAlex ID
    W2047275762
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