Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)

DOI10.1016/j.anihpb.2004.09.004zbMath1083.60027OpenAlexW2045046809MaRDI QIDQ2573629

David Nualart, Patrick Cheridito

Publication date: 22 November 2005

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_2005__41_6_1049_0

zbMATH Keywords

symmetric integralextended stochastic integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (75)

Supremum concentration inequality and modulus of continuity for sub-\(n\)th chaos processes ⋮ ENTROPY FLOW AND DE BRUIJN'S IDENTITY FOR A CLASS OF STOCHASTIC DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION ⋮ Convergence of the empirical spectral distribution of Gaussian matrix-valued processes ⋮ A stochastic calculus for Rosenblatt processes ⋮ Wiener integrals, Malliavin calculus and covariance measure structure ⋮ Weak symmetric integrals with respect to the fractional Brownian motion ⋮ Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes with the hurst parameter H∈(0,12) ⋮ The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2 ⋮ On Stratonovich and Skorohod stochastic calculus for Gaussian processes ⋮ Derivative for the intersection local time of two independent fractional Brownian motions ⋮ Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\) ⋮ Operators associated with a stochastic differential equation driven by fractional Brownian motions ⋮ Nonsemimartingales: stochastic differential equations and weak Dirichlet processes ⋮ Evolutionary equations driven by fractional Brownian motion ⋮ Itô's formula for Gaussian processes with stochastic discontinuities ⋮ Parameter estimation for fractional Ornstein-Uhlenbeck processes of general Hurst parameter ⋮ On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion ⋮ Entropy and alternative entropy functionals of fractional Gaussian noise as the functions of Hurst index ⋮ Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion ⋮ Rough paths and symmetric-Stratonovich integrals driven by singular covariance Gaussian processes ⋮ An M-estimator for stochastic differential equations driven by fractional Brownian motion with small Hurst parameter ⋮ Stochastic integration with respect to the sub-fractional Brownian motion with ⋮ Central and non-central limit theorems for weighted power variations of fractional Brownian motion ⋮ On Simpson's rule and fractional Brownian motion with \(H = 1/10\) ⋮ FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION ⋮ A change of variable formula with Itô correction term ⋮ Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion ⋮ Semilinear backward doubly stochastic differential equations and SPDEs driven by fractional Brownian motion with Hurst parameter in \((0,1/2)\) ⋮ Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2 ⋮ Peng's maximum principle for a stochastic control problem driven by a fractional and a standard Brownian motion ⋮ Discrete rough paths and limit theorems ⋮ Asymptotic expansions of solutions of stochastic differential equations driven by multivariate fractional Brownian motions having Hurst indices greater than 1/3 ⋮ Stochastic calculus with respect to fractional Brownian motion ⋮ Variations of the solution to a stochastic heat equation ⋮ On the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\) ⋮ Asymptotic theory for rough fractional Vasicek models ⋮ Hitting times for Gaussian processes ⋮ Stochastic analysis of Gaussian processes via Fredholm representation ⋮ Correcting Newton-Côtes integrals by Lévy areas ⋮ Covariance of stochastic integrals with respect to fractional Brownian motion ⋮ An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach ⋮ A general non-existence result for linear BSDEs driven by Gaussian processes ⋮ Total variation bounds for Gaussian functionals ⋮ An extension of the divergence operator for Gaussian processes ⋮ Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\) ⋮ Skorohod integration and stochastic calculus beyond the fractional Brownian scale ⋮ On bifractional Brownian motion ⋮ Fractional stochastic differential equations with applications to finance ⋮ Differentiation formula in Stratonovich version for fractional Brownian sheet ⋮ Stochastic integrals and evolution equations with Gaussian random fields ⋮ A rough path over multidimensional fractional Brownian motion with arbitrary Hurst index by Fourier normal ordering ⋮ Some processes associated with fractional Bessel processes ⋮ Bilinear equations in Hilbert space driven by paths of low regularity ⋮ Stochastic calculus with respect to Gaussian processes ⋮ Asymptotic expansion of Skorohod integrals ⋮ Weak solutions to stochastic differential equations driven by fractional brownian motion ⋮ Derivative for self-intersection local time of multidimensional fractional Brownian motion ⋮ Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion ⋮ On the eigenvalue process of a matrix fractional Brownian motion ⋮ A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4 ⋮ Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension ⋮ Wick-Itô Formula for Gaussian Processes ⋮ Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes ⋮ Some linear fractional stochastic equations ⋮ Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2 ⋮ Stochastic integration with respect to fractional processes in Banach spaces ⋮ The Calculus of Differentials for the Weak Stratonovich Integral ⋮ Fluctuations for matrix-valued Gaussian processes ⋮ Stationarity and self-similarity characterization of the set-indexed fractional Brownian motion ⋮ Enhanced Gaussian processes and applications ⋮ Linear Stochastic Differential Equations Driven by a Fractional Brownian Motion with Hurst Parameter Less than 1/2 ⋮ Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator ⋮ Itô's- and Tanaka's-type formulae for the stochastic heat equation: The linear case ⋮ Almost periodic solutions in distribution to affine stochastic differential equations driven by a fractional Brownian motion ⋮ Analog of the Kolmogorov equations for one-dimensional stochastic differential equations controlled by fractional Brownian motion with Hurst exponent \(H\in (0,1)\)

This page was built for publication: Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)