The Calculus of Differentials for the Weak Stratonovich Integral

DOI10.1007/978-1-4614-5906-4_5zbMath1273.60065arXiv1103.0341MaRDI QIDQ2841778

Jason Swanson

Publication date: 30 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1103.0341

zbMATH Keywords

weak convergence; fractional Brownian motion; stochastic integration; Stratonovich integral

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

60H05: Stochastic integrals

60F17: Functional limit theorems; invariance principles

Cites Work

• The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• A change of variable formula with Itô correction term
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes.