Stochastic Green's theorem for fractional Brownian sheet and its application
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Publication:459488
DOI10.1016/j.jkss.2011.08.008zbMath1296.60182OpenAlexW2089829785MaRDI QIDQ459488
Publication date: 13 October 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2011.08.008
Itō formulafractional Brownian sheetstochastic Green's theoremstochastic line integralswhite noise theory
Related Items (3)
Fractional stochastic Volterra equation perturbed by fractional Brownian motion ⋮ Stochastic elastic equation driven by multiplicative multi-parameter fractional noise ⋮ Stochastic elastic equation driven by fractional Brownian motion
Cites Work
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- Wick integration with respect to fractional Brownian sheet
- An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
- General Fractional Multiparameter White Noise Theory and Stochastic Partial Differential Equations
- Stratonovich Calculus with Respect to Fractional Brownian Sheet
- An Itô formula for a fractional Brownian sheet with arbitrary Hurst parameters
- A General Fractional White Noise Theory And Applications To Finance
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