Stochastic Green's theorem for fractional Brownian sheet and its application

DOI10.1016/j.jkss.2011.08.008zbMath1296.60182OpenAlexW2089829785MaRDI QIDQ459488

Jong Woo Jeon, Yoon Tae Kim

Publication date: 13 October 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2011.08.008

zbMATH Keywords

Itō formulafractional Brownian sheetstochastic Green's theoremstochastic line integralswhite noise theory

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40)

Related Items (3)

Fractional stochastic Volterra equation perturbed by fractional Brownian motion ⋮ Stochastic elastic equation driven by multiplicative multi-parameter fractional noise ⋮ Stochastic elastic equation driven by fractional Brownian motion

Cites Work

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• A note on Itō formula for fractional Brownian sheet with Hurst parameters \(H_1,H_2\in(0,1)\)
• Wick integration with respect to fractional Brownian sheet
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• General Fractional Multiparameter White Noise Theory and Stochastic Partial Differential Equations
• Stratonovich Calculus with Respect to Fractional Brownian Sheet
• An Itô formula for a fractional Brownian sheet with arbitrary Hurst parameters
• A General Fractional White Noise Theory And Applications To Finance

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