The fBm Itô's formula through analytic continuation

DOI10.1214/EJP.v6-99zbMath1008.60074MaRDI QIDQ1858643

Denis Feyel, Arnaud De La Pradelle

Publication date: 13 February 2003

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/122491

zbMATH Keywords

Sobolev spacefractional Brownian motionstochastic integralItô's formulaWiener space

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension ⋮ Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process ⋮ Stochastic viability and comparison theorems for mixed stochastic differential equations

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