FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION

DOI10.1142/S0219025708003105zbMath1149.60035OpenAlexW2047275762MaRDI QIDQ3519916

Francesca Biagini, Bernt Øksendal

Publication date: 19 August 2008

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219025708003105

zbMATH Keywords

fractional Brownian motionItô formulastochastic integralsMalliavin derivativeWick-Itô-Skorochod integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) White noise theory (60H40) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Related Items (2)

A stochastic calculus for Rosenblatt processes ⋮ Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review

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