A new proof of fractional Hu-Meyer formula and its applications

DOI10.1186/1029-242X-2012-272zbMath1283.60072WikidataQ59290495 ScholiaQ59290495MaRDI QIDQ387928

Ting Hu, Baobin Wang

Publication date: 17 December 2013

Published in: Journal of Inequalities and Applications (Search for Journal in Brave)

zbMATH Keywords

fractional Brownian motionStratonovich integralHu-Meyer formulamollifier approximation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Cites Work

• Stochastic and multiple Wiener integrals for Gaussian processes
• On a multiple Stratonovich-type integral for some Gaussian processes
• Multiple fractional integral with Hurst parameter less than \(\frac {1}{2}\)
• Convergence in law to the multiple fractional integral.
• Stochastic Calculus for Fractional Brownian Motion I. Theory

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