Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than \(1/2\)
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Publication:2175010
DOI10.3150/20-BEJ1202zbMath1464.60054MaRDI QIDQ2175010
Publication date: 27 April 2020
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1587974547
Itô formula; Stratonovich stochastic differential equation; Doss transformation; fractional integrals and derivatives; derivative and divergence operators in the Malliavin calculus sense; Malliavin calculus for fBm; symmetric stochastic integration
60G22: Fractional processes, including fractional Brownian motion
60H05: Stochastic integrals
60H07: Stochastic calculus of variations and the Malliavin calculus