Itô formula for the infinite-dimensional fractional Brownian motion (Q2501411): Difference between revisions
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Revision as of 02:02, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Itô formula for the infinite-dimensional fractional Brownian motion |
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Itô formula for the infinite-dimensional fractional Brownian motion (English)
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6 September 2006
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The paper introduces the fractional Brownian motion \(B^h\) with values in an (infinite-dimension\-al) Hilbert space. For the Hurst parameter \(h\) bigger than 1/2 the stochastic integral of a non-deterministic integrand w.r.t. \(B^h\) is constructed, and the associated Itô formula is derived. To do this, the paper employs the anticipating Skorokhod stochastic calculus. The needed preliminaries on Malliavin calculus, one-dimensional fractional Brownian motion, and infinite-dimensional stochastic analysis are presented in separate sections of the paper.
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Itô formula
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fractional Brownian motion
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Hilbert space-valued
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infinite dimensional stochastic analysis
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