Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions

DOI10.1016/j.spa.2013.09.004zbMath1298.60059OpenAlexW2000488038MaRDI QIDQ2434498

Erick Herbin, Joachim Lebovits, Jacques Lévy-Véhel

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.09.004

zbMATH Keywords

Gaussian processesfractional Brownian motionsconvergence in lawpathwise integralSkorohod integralwhite noise theorymultifractional Brownian motionsWick-Itō integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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