FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION

DOI10.1142/S0219025708003105zbMath1149.60035MaRDI QIDQ3519916

Francesca Biagini, Bernt Øksendal

Publication date: 19 August 2008

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219025708003105

zbMATH Keywords

fractional Brownian motion; Itô formula; stochastic integrals; Malliavin derivative; Wick-Itô-Skorochod integral

Mathematics Subject Classification ID

60G15: Gaussian processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60H40: White noise theory

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

60G18: Self-similar stochastic processes

Related Items

A stochastic calculus for Rosenblatt processes, Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review

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