On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)

DOI10.1016/j.aml.2004.05.014zbMath1082.60029MaRDI QIDQ2484680

Publication date: 1 August 2005

Published in: Applied Mathematics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.aml.2004.05.014

zbMATH Keywords

stochastic differential equation; Maruama notation; stochastic calculus of fractional order; Taylor's series of fractional order

Mathematics Subject Classification ID

60G15: Gaussian processes

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