THE RESTRICTION OF THE FRACTIONAL ITÔ INTEGRAL TO ADAPTED INTEGRANDS IS INJECTIVE

DOI10.1142/S0219493705001274zbMath1067.60024WikidataQ114072610 ScholiaQ114072610MaRDI QIDQ4662169

Christian Bender

Publication date: 30 March 2005

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

Fractional Brownian motionfractional Itô isometry

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05)

Related Items (4)

Integral Representation with Adapted Continuous Integrand with Respect to Fractional Brownian Motion ⋮ A general non-existence result for linear BSDEs driven by Gaussian processes ⋮ Integral representation of random variables with respect to Gaussian processes ⋮ Backward SDEs driven by Gaussian processes

Cites Work

• An \(S\)-transform approach to integration with respect to a fractional Brownian motion
• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Arbitrage with Fractional Brownian Motion
• A General Fractional White Noise Theory And Applications To Finance
• Fractional Brownian Motions, Fractional Noises and Applications

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