Covariance of stochastic integrals with respect to fractional Brownian motion

DOI10.1016/j.spa.2017.08.006zbMath1390.60145arXiv1008.2500OpenAlexW2962997083MaRDI QIDQ1747791

Eddy Mayer-Wolf, Yohaï Maayan

Publication date: 27 April 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.2500

zbMATH Keywords

fractional Brownian motionstochastic integraldivergence integralfractional Bessel process

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

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