\(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index

DOI10.1016/j.anihpb.2004.06.002zbMath1083.60045OpenAlexW2040324819MaRDI QIDQ2485747

Ivan Nourdin, Mihai Gradinaru, Francesco Russo, Pierre Vallois

Publication date: 5 August 2005

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_2005__41_4_781_0

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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