Stochastic integration with respect to fractional Brownian motion (Q1868111)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1901032
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Stochastic integration with respect to fractional Brownian motion |
scientific article; zbMATH DE number 1901032 |
Statements
Stochastic integration with respect to fractional Brownian motion (English)
0 references
27 April 2003
0 references
For every value of the Hurst index \(H\in (0,1)\), this paper defines a stochastic integral with respect to fractional Brownian motion of index \(H\) by approximating fractional Brownian motion. For \(H>1/6\), an Itô's change of variables formula is established which is more precise than Privault's Itô formula (1998) (established for every \(H>0\)), since it only involves anticipating integrals with respect to a driving Brownian motion.
0 references
Gaussian process
0 references
stochastic integral
0 references
Malliavin calculus
0 references
fractional integration
0 references
0 references
0.99954677
0 references
0.9593949
0 references
0.9579346
0 references
0.9575183
0 references
0.9559019
0 references
0.9495209
0 references
