An isometric approach to generalized stochastic integrals

DOI10.1023/A:1007854310936MaRDI QIDQ1592269zbMATH OpenOpenAlexFDO

Authors Esko Valkeila, Yuliya S. Mishura

Publication date 25 July 2001

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1007854310936

zbMATH Keywords

fractional Brownian motionstochastic integral

Mathematics Subject Classification ID

Stochastic integrals (60H05)

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Cited in

(10)

• A new approach to stochastic integration with respect to fractional Brownian motion for no adapted processes
• STOCHASTIC INTEGRATION FOR FRACTIONAL BROWNIAN MOTION IN A HILBERT SPACE
• An isometry formula for a new stochastic integral
• Inequalities for the moments of Wiener integrals with respect to a fractional Brownian motion
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• About one construction of stochastic integral
• On the connection between Molchan-Golosov and Mandelbrot-van Ness representations of fractional Brownian motion
• Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst indexH>1/2
• A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4
• A generalization of the Wick-Itô stochastic integral

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