Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion

DOI10.1007/S11464-021-0923-8MaRDI QIDQ2048181zbMATH OpenOpenAlexWikidataFDO

Authors Litan Yan, Jianhui Zhu, Fuquan Xia

Publication date 5 August 2021

Published in Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11464-021-0923-8

zbMATH Keywords

forward integralfractional Brownian motion (fBm)Malliavin calculusWick product

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Non-Markovian processes: estimation (62M09)

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Cites work

• m-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
• An integral functional driven by fractional Brownian motion
• Forward, backward and symmetric stochastic integration
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• scientific article; zbMATH DE number 2096685 (Why is no real title available?)
• Integral transformations and anticipative calculus for fractional Brownian motions
• Integration with respect to fractional local time with Hurst index \(1/2 < \text H < 1\)
• Selected aspects of fractional Brownian motion.
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus for fractional Brownian motion and related processes.
• Stochastic calculus with respect to continuous finite quadratic variation processes
• Stochastic calculus with respect to Gaussian processes
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than 1/2
• The fractional derivative for fractional Brownian local time with Hurst index large than 1/2
• The generalized covariation process and Itô formula
• The generalized quadratic covariation for fractional Brownian motion with Hurst index less than 1/2
• The Malliavin Calculus and Related Topics
• Wick-Itô Formula for Gaussian Processes

Cited in

(3)

• Wick integration with respect to fractional Brownian sheet
• Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion
• FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION

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