Stratonovich type integration with respect to fractional Brownian motion with Hurst parameter less than 1/2

DOI10.3150/20-BEJ1202MaRDI QIDQ2175010zbMATH OpenOpenAlexFDO

Authors Jorge A. Leon

Publication date 27 April 2020

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.bj/1587974547

zbMATH Keywords

Doss transformationfractional integrals and derivativesStratonovich stochastic differential equationderivative and divergence operators in the Malliavin calculus senseMalliavin calculus for fBmsymmetric stochastic integrationItô formula

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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Cited in

(10)

• On the \(\frac{1}{H}\)-variation of the divergence integral with respect to fractional Brownian motion with Hurst parameter \(H < \frac{1}{2}\)
• 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 \(1/2\)
• Another construction of multiple fractional Stratonovich type integral
• Harmonic analysis meets stationarity: a general framework for series expansions of special Gaussian processes
• Stratonovich Calculus with Respect to Fractional Brownian Sheet
• Multiple fractional integral with Hurst parameter less than \(\frac {1}{2}\)
• The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
• A note on multiple fractional Stratonovich type integral
• scientific article; zbMATH DE number 1595036 (Why is no real title available?)

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