Differentiation formula in Stratonovich version for fractional Brownian sheet
DOI10.1016/J.JMAA.2009.05.037zbMATH Open1185.60038OpenAlexW2080690237MaRDI QIDQ2272032FDOQ2272032
Jong Woo Jeon, Yoon Tae Kim, Hyun Suk Park
Publication date: 5 August 2009
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2009.05.037
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Random fields (60G60) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22)
Cites Work
- The Malliavin Calculus and Related Topics
- Stochastic integration with respect to the fractional Brownian motion
- Stochastic calculus with respect to Gaussian processes
- Forward, backward and symmetric stochastic integration
- \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
- Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
- Itô formula and local time for the fractional {B}rownian sheet
- Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
- Various types of stochastic integrals with respect to fractional Brownian sheet and their applications
- An Itô formula for a fractional Brownian sheet with arbitrary Hurst parameters
- Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator
- Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than \(1/2\)
- An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach
- An Itô Formula of Generalized Functionals and Local Time for Fractional Brownian Sheet
Cited In (4)
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