Differentiation formula in Stratonovich version for fractional Brownian sheet (Q2272032)
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scientific article; zbMATH DE number 5590448
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| English | Differentiation formula in Stratonovich version for fractional Brownian sheet |
scientific article; zbMATH DE number 5590448 |
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Differentiation formula in Stratonovich version for fractional Brownian sheet (English)
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5 August 2009
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The authors provide comparison results between the Skorohod integral and two types of Stratonovich integrals with respect to the two parameter fractional Brownian motion with Hurst parameter greater than \(1/4\). As an application they obtain a Stratonovich change of variable formula for the fractional Brownian sheet.
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fractional Brownian sheet
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Malliavin derivative
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Stratonovich stochastic integral
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differentiation formula
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0.96040535
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0.92797947
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0.8722291
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0.86663973
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0.86612785
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0.8656921
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0.8642559
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