On the Weighted Local Time and the Tanaka Formula for the Multidimensional Fractional Brownian Motion
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Publication:5443469
DOI10.1080/07362990701726365zbMath1143.60039MaRDI QIDQ5443469
Publication date: 21 February 2008
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990701726365
fractional Brownian motion; Itô formula; Tanaka formula; weighted local time; Skorohod type integral
60G15: Gaussian processes
60H07: Stochastic calculus of variations and the Malliavin calculus
60J55: Local time and additive functionals
Cites Work
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- Generalized Brownian functionals and the solution to a stochastic partial differential equation
- Tanaka formula for multidimensional Brownian motions
- Tanaka formula for the fractional Brownian motion.
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- Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
- CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
- Stochastic calculus with respect to Gaussian processes