The generalized quadratic covariation for fractional Brownian motion with Hurst index less than \(1/2\) (Q2937045)
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scientific article; zbMATH DE number 6384444
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| English | The generalized quadratic covariation for fractional Brownian motion with Hurst index less than \(1/2\) |
scientific article; zbMATH DE number 6384444 |
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The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2 (English)
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7 January 2015
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fractional Brownian motion
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generalized quadratic covariation
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Hurst index
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Malliavin calculus
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local time
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fractional Itō formula
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0.8226466774940491
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0.8216862678527832
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0.8144170045852661
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0.8052339553833008
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