Stratonovich Calculus with Respect to Fractional Brownian Sheet

DOI10.1080/07362990903136462zbMath1192.60080OpenAlexW2024414082MaRDI QIDQ3182403

Yoon Tae Kim, Hyun Suk Park

Publication date: 8 October 2009

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

Full work available at URL: https://doi.org/10.1080/07362990903136462

zbMATH Keywords

Malliavin calculusItô formulafractional Brownian sheetStratonovich stochastic integralsSkorohod integrals

Mathematics Subject Classification ID

Random fields (60G60) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Related Items (4)

Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet ⋮ Stochastic Green's theorem for fractional Brownian sheet and its application ⋮ Wiener integrals with respect to the Hermite random field and applications to the wave equation ⋮ Wick integration with respect to fractional Brownian sheet

Cites Work

• Forward, backward and symmetric stochastic integration
• Itô formula and local time for the fractional {B}rownian sheet
• Various types of stochastic integrals with respect to fractional Brownian sheet and their applications
• The Malliavin Calculus and Related Topics
• Stochastic calculus with respect to Gaussian processes

This page was built for publication: Stratonovich Calculus with Respect to Fractional Brownian Sheet