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

Recommendations

• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Itô's formula with respect to fractional Brownian motion and its application
• 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

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)

Cited In (3)

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

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