A note on the differentiation formula in Stratonovich type for fractional Brownian sheet

DOI10.1016/j.jkss.2008.11.005zbMath1293.60059OpenAlexW2016700355MaRDI QIDQ2510700

Yoon Tae Kim

Publication date: 1 August 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2008.11.005

zbMATH Keywords

Malliavin derivativefractional Brownian sheetStratonovich stochastic integraldifferentiation formulasSkorohod integrals

Mathematics Subject Classification ID

Random fields (60G60) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites Work

• Forward, backward and symmetric stochastic integration
• Itô formula and local time for the fractional {B}rownian sheet
• 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
• An Itô Formula of Generalized Functionals and Local Time for Fractional Brownian Sheet
• Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator
• Stochastic integration with respect to the fractional Brownian motion
• Stochastic calculus with respect to Gaussian processes