Wick integration with respect to fractional Brownian sheet

DOI10.1016/j.jkss.2009.12.001zbMath1294.60078OpenAlexW2010941183MaRDI QIDQ2511748

Yoon Tae Kim

Publication date: 6 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.2009.12.001

zbMATH Keywords

Itō formulafractional Brownian sheetwhite noise theoryWick integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40) Stochastic integrals (60H05)

Related Items

Stochastic Green's theorem for fractional Brownian sheet and its application

Cites Work

• Stochastic integrals in the plane
• Itô formula and local time for the fractional {B}rownian sheet
• Differentiation formula in Stratonovich version for fractional Brownian sheet
• Stochastic calculus for fractional Brownian motion and related processes.
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• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• General Fractional Multiparameter White Noise Theory and Stochastic Partial Differential Equations
• Stratonovich Calculus with Respect to Fractional Brownian Sheet
• An Itô formula for a fractional Brownian sheet with arbitrary Hurst parameters
• A General Fractional White Noise Theory And Applications To Finance
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