Time reversal for drifted fractional Brownian motion with Hurst index H > 1/2

DOI10.1214/EJP.V12-439MaRDI QIDQ2462006zbMATH OpenFDO

Authors Sébastien Darses, Bruno Saussereau

Publication date 23 November 2007

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/128412

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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(3)

• Time reversal of Volterra processes driven stochastic differential equations
• Stochastic derivatives for fractional diffusions
• Representation formulae for the fractional Brownian motion

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