Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion
type: Item
instance of: scholarly article
title: Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion
zbMATH Open document ID: 1469.60117
author: Litan Yan
author: Jianhui Zhu
author: Fuquan Xia
published in: Frontiers of Mathematics in China
publication date: 2021-08-05T00:00:00Z
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 60F05
Mathematics Subject Classification ID: 62M09
zbMATH DE Number: 7379094
zbMATH Keywords: fractional Brownian motion (fBm)
zbMATH Keywords: forward integral
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: Wick product
Wikidata QID: Q114222290
MaRDI profile type: Publication
full work available at URL: s11464-021-0923-8
OpenAlex ID: W3158639131
cites work: Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\)
cites work: Stochastic calculus with respect to Gaussian processes
cites work: Stochastic Calculus for Fractional Brownian Motion and Applications
cites work: Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
cites work: \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
cites work: Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
cites work: Integral transformations and anticipative calculus for fractional Brownian motions
cites work: Stochastic calculus for fractional Brownian motion and related processes.
cites work: Selected aspects of fractional Brownian motion.
cites work: Q4811448
cites work: The Malliavin Calculus and Related Topics
cites work: Wick-Itô Formula for Gaussian Processes
cites work: Forward, backward and symmetric stochastic integration
cites work: The generalized covariation process and Itô formula
cites work: Stochastic calculus with respect to continuous finite quadratic variation processes
cites work: An integral functional driven by fractional Brownian motion
cites work: The fractional derivative for fractional Brownian local time with Hurst index large than 1/2
cites work: The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2
cites work: Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
DOI: 10.1007/S11464-021-0923-8
description: scientific article; zbMATH DE number 7379094