A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4
From MaRDI portal
Publication:1017711
DOI10.1016/j.jfa.2008.10.005zbMath1162.60010arXiv0806.2248MaRDI QIDQ1017711
Publication date: 12 May 2009
Published in: Journal of Functional Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0806.2248
Related Items
Limit theorems for nonlinear functionals of Volterra processes via white noise analysis, Weak symmetric integrals with respect to the fractional Brownian motion, Discretizing the fractional Lévy area, Gaussian and non-Gaussian processes of zero power variation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Curvilinear integrals along enriched paths
- Differential equations driven by Gaussian signals
- Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension
- Central limit theorems for non-linear functionals of Gaussian fields
- On quadratic variation of processes with Gaussian increments
- Differential equations driven by rough signals
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
- Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
- \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.
- The Malliavin Calculus and Related Topics
- Asymptotics of particle trajectories in infinite one-dimensional systems with collisions
- Diffusion with “collisions” between particles
