Various types of stochastic integrals with respect to fractional Brownian sheet and their applications

DOI10.1016/j.jmaa.2007.10.071zbMath1135.60032OpenAlexW2052341059MaRDI QIDQ2480364

Hyun Suk Park, Jong Woo Jeon, Yoon Tae Kim

Publication date: 31 March 2008

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.2007.10.071

zbMATH Keywords

Itô formulaMalliavin derivativefractional Brownian sheetstochastic line integralsSkorohod integrals

Mathematics Subject Classification ID

Stochastic integrals (60H05)

Related Items

Stratonovich Calculus with Respect to Fractional Brownian Sheet ⋮ Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet ⋮ Stochastic Green's theorem for fractional Brownian sheet and its application ⋮ Differentiation formula in Stratonovich version for fractional Brownian sheet ⋮ A note on the differentiation formula in Stratonovich type for fractional Brownian sheet ⋮ Wick integration with respect to fractional Brownian sheet ⋮ Asymptotic behavior of the weighted cross-variation with respect to fractional Brownian sheet

Cites Work

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