Stochastic derivatives for fractional diffusions

DOI10.1214/009117906000001169zbMath1208.60033arXivmath/0604315OpenAlexW2008539029MaRDI QIDQ2456036

Sébastien Darses, Ivan Nourdin

Publication date: 17 October 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0604315

zbMATH Keywords

fractional Brownian motionMalliavin calculusfractional differential equationNelson's derivativeStochastic derivatives

Mathematics Subject Classification ID

Gaussian processes (60G15) General theory of stochastic processes (60G07) Sample path properties (60G17) Stochastic calculus of variations and the Malliavin calculus (60H07)

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