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

DOI10.1016/J.AML.2004.05.014zbMath1082.60029OpenAlexW2029239285MaRDI QIDQ2484680

Guy Jumaric

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 equationMaruama notationstochastic calculus of fractional orderTaylor's series of fractional order

Mathematics Subject Classification ID

Gaussian processes (60G15)

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Cites Work

• Stochastic analysis of the fractional Brownian motion
• Alternative micropulses and fractional Brownian motion
• Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
• A class of micropulses and antipersistent fractional Brownian motion
• Stochastic differential equations with fractional Brownian motion input
• Fractional Brownian Motions, Fractional Noises and Applications
• ON FRACTIONAL INTEGRALS AND DERIVATIVES

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