The fBm Itô's formula through analytic continuation

DOI10.1214/EJP.V6-99zbMATH Open1008.60074MaRDI QIDQ1858643FDOQ1858643

Authors Denis Feyel, Arnaud De La Pradelle

Publication date 13 February 2003

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

Full work available at URL https://eudml.org/doc/122491

zbMATH Keywords

fractional Brownian motionSobolev spaceWiener spacestochastic integralItô's formula

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05)

Recommendations

• Stochastic Calculus for Fractional Brownian Motion I. Theory
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• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
• Stochastic analysis of the fractional Brownian motion
• Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator

Cited in

(3)

• Stochastic calculus for fractional Brownian motion with Hurst exponent \(H>\frac 1 4 \): A rough path method by analytic extension
• Stochastic viability and comparison theorems for mixed stochastic differential equations
• Stochastic representation and path properties of a fractional Cox-Ingersoll-Ross process

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