Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator

DOI10.1080/17442500601014912zbMath1116.60023OpenAlexW2106404281MaRDI QIDQ3426326

Ciprian A. Tudor, Frederi G. Viens

Publication date: 8 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601014912

zbMATH Keywords

Malliavin calculusBrownian sheetFractional Brownian motionHurst parameterSkorokhod integralGaussian regularity

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (6)

Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet ⋮ Various types of stochastic integrals with respect to fractional Brownian sheet and their applications ⋮ Differentiation formula in Stratonovich version for fractional Brownian sheet ⋮ A note on Itō formula for fractional Brownian sheet with Hurst parameters \(H_1,H_2\in(0,1)\) ⋮ A note on the differentiation formula in Stratonovich type for fractional Brownian sheet ⋮ Some linear fractional stochastic equations

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• System Control and Rough Paths
• Stochastic calculus with respect to Gaussian processes

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