Itô formula for the infinite-dimensional fractional Brownian motion (Q2501411): Difference between revisions

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.