Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\)
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Publication:2175010
DOI10.3150/20-BEJ1202zbMath1464.60054OpenAlexW3020747535MaRDI QIDQ2175010
Publication date: 27 April 2020
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1587974547
Itô formulaStratonovich stochastic differential equationDoss transformationfractional integrals and derivativesderivative and divergence operators in the Malliavin calculus senseMalliavin calculus for fBmsymmetric stochastic integration
Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)
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