Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions

DOI10.1016/j.spa.2013.09.004zbMath1298.60059MaRDI QIDQ2434498

Erick Herbin, Joachim Lebovits, Jacques Lévy-Véhel

Publication date: 6 February 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.09.004

zbMATH Keywords

Gaussian processes; fractional Brownian motions; convergence in law; pathwise integral; Skorohod integral; white noise theory; multifractional Brownian motions; Wick-Itō integral

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H05: Stochastic integrals

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