An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.

DOI10.1016/S0304-4149(02)00212-0zbMath1075.60530MaRDI QIDQ2574549

Christian Bender

Publication date: 29 November 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

local time; Tanaka formula

Mathematics Subject Classification ID

60G20: Generalized stochastic processes

60H40: White noise theory

60H05: Stochastic integrals

Related Items

THE RESTRICTION OF THE FRACTIONAL ITÔ INTEGRAL TO ADAPTED INTEGRANDS IS INJECTIVE, A quasilinear stochastic partial differential equation driven by fractional white noise, Stochastic Evolution Equations Driven by a Fractional White Noise, Numerical analysis for stochastic age-dependent population equations with fractional Brownian motion, Collision local times of two independent fractional Brownian motions, Skorohod integration and stochastic calculus beyond the fractional Brownian scale, Intersection local times of independent fractional Brownian motions as generalized white noise functionals, Exact linearization of one dimensional Itô equations driven by fBm: Analytical and numerical solutions, Stochastic calculus for convoluted Lévy processes, Maximal inequalities for the iterated fractional integrals, On the local times of fractional Ornstein-Uhlenbeck process, Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions, An extension of the divergence operator for Gaussian processes, On bifractional Brownian motion, Explicit solutions of a class of linear fractional BSDEs, Inequalities for the \(\mathbb L^p\) norms of integrals with respect to a fractional Brownian motion, Quantifying Model Uncertainties in Complex Systems, Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion, 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, FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Self-intersections and local nondeterminism of Gaussian processes
• Stochastic analysis of the fractional Brownian motion
• Solving forward-backward stochastic differential equations explicitly -- a four step scheme
• Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
• Integration questions related to fractional Brownian motion
• Stochastic integration with respect to fractional Brownian motion
• Tanaka formula for the fractional Brownian motion.
• Fractional Brownian Fields as Integrals of White Noise
• Skorohod stochastic integration with respect to non-adapted processes on wiener space
• Stochastic analysis of fractional brownian motions
• Arbitrage with Fractional Brownian Motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian Motions, Fractional Noises and Applications
• Positive Temperatures on an Infinite Rod
• Stochastic calculus with respect to Gaussian processes