The generalized Bouleau-Yor identity for a sub-fractional Brownian motion
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Publication:2441133
DOI10.1007/s11425-013-4604-2zbMath1291.60078arXiv1212.6347OpenAlexW3105980432MaRDI QIDQ2441133
Chao Chen, Litan Yan, Kun He, Bo Gao, Jun-Feng Liu
Publication date: 21 March 2014
Published in: Science China. Mathematics, Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.6347
Malliavin calculuslocal timestochastic integrationItô formulaItô's formulaquadratic covariationbi-fractional Brownian motionsub-fractional Brownian motion
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Local time and additive functionals (60J55)
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