A change of variable formula with Itô correction term

DOI10.1214/09-AOP523zbMath1204.60044arXiv0802.3356MaRDI QIDQ1958460

Jason Swanson, Krzysztof Burdzy

Publication date: 29 September 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.3356

zbMATH Keywords

fractional Brownian motionstochastic partial differential equationslong-range dependenceself-similar processesquadratic variationiterated Brownian motionquartic variationStochastic integration

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Self-similar stochastic processes (60G18)

Related Items (14)

Weak symmetric integrals with respect to the fractional Brownian motion ⋮ Central limit theorem for a Stratonovich integral with Malliavin calculus ⋮ Error analysis for approximations to one-dimensional SDEs via the perturbation method ⋮ Asymptotic error distributions of the Crank-Nicholson scheme for SDEs driven by fractional Brownian motion ⋮ Central and non-central limit theorems for weighted power variations of fractional Brownian motion ⋮ On Simpson's rule and fractional Brownian motion with \(H = 1/10\) ⋮ Stationary infinitely divisible processes ⋮ Discrete rough paths and limit theorems ⋮ Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion ⋮ Geometric versus non-geometric rough paths ⋮ Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\) ⋮ Fluctuations of the empirical quantiles of independent Brownian motions ⋮ Gaussian and non-Gaussian processes of zero power variation ⋮ The Calculus of Differentials for the Weak Stratonovich Integral

Cites Work

• Unnamed Item
• Unnamed Item
• Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• A decomposition of the bifractional Brownian motion and some applications
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Forward, backward and symmetric stochastic integration
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• The generalized covariation process and Itô formula
• Itô formula for an asymptotically 4-stable process
• Variations of the solution to a stochastic heat equation
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
• A countable representation of the Fleming-Viot measure-valued diffusion
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)

This page was built for publication: A change of variable formula with Itô correction term