Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).

DOI10.1214/aop/1068646366zbMath1059.60067OpenAlexW2057112986MaRDI QIDQ1433879

Pierre Vallois, Francesco Russo, Mihai Gradinaru

Publication date: 1 July 2004

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aop/1068646366

zbMATH Keywords

fractional Brownian motionlocal timeItô's formulafourth variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Stochastic integrals (60H05) Stochastic integral equations (60H20)

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