Integral transformations and anticipative calculus for fractional Brownian motions

DOI10.1090/MEMO/0825zbMath1072.60044OpenAlexW2065382788MaRDI QIDQ3022807

Yaozhong Hu

Publication date: 30 June 2005

Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/memo/0825

zbMATH Keywords

approximationconditioningRiccati equationRadon-Nikodym derivativeItô formulastochastic integralintegration by parts formulalinear quadratic control\(L_p\) estimatecontinuous modificationMeyer's inequalityClark derivativeintegro-differential transformationnonliner translationprobability structure preserving

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional derivatives and integrals (26A33) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Continuity and singularity of induced measures (60G30) General integral transforms (44A05)

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