An \(S\)-transform approach to integration with respect to a fractional Brownian motion (Q1431525): Difference between revisions
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Latest revision as of 00:11, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An \(S\)-transform approach to integration with respect to a fractional Brownian motion |
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An \(S\)-transform approach to integration with respect to a fractional Brownian motion (English)
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10 June 2004
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An elementary definition of the (Wick)-Itô integral is given with respect to a fractional Brownian motion using the expectation, the ordinary Lebesgue integral and the classical (simple) Wiener integral. The expectation of the fractional Itô integral under change of measure is calculated and a Girsanov theorem for the fractional Itô integral is proven (not only for fractional Brownian motion). An Itô formula for functionals of a fractional Wiener integral is derived.
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change of measure
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fractional Brownian motion
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fractional Girsanov theorem
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fractional Itô integral
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\(S\)-transform
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