On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half

DOI10.1080/19451120310001642613zbMath1043.60027OpenAlexW2161329327MaRDI QIDQ4464388

Christian Bender, Robert J. Elliott

Publication date: 27 May 2004

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/19451120310001642613

zbMATH Keywords

fractional Brownian motionquasi-conditional expectationfractional Clark-Ocone formulafractional chaos expansion

Mathematics Subject Classification ID

Gaussian processes (60G15) White noise theory (60H40) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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