The stochastic integral with respect to the sub-fractional Brownian motion with H > 12

zbMATH Open1215.60037MaRDI QIDQ3002147FDOQ3002147

Authors: Litan Yan, Guangjun Shen 

Publication date: 19 May 2011

Full work available at URL: http://scientificadvances.org/journals1P5.htm

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zbMATH Keywords

Malliavin calculus\(p\)-variationsub-fractional Brownian motiondivergence integral

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cited In (5)

• Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
• Stochastic integration with respect to the sub-fractional Brownian motion with
• The law of a stochastic integral with respect to subfractional Brownian motions
• The \(\mathcal S\)-transform of sub-fBm and an application to a class of linear subfractional BSDEs
• Stochastic integral for non-adapted processes related to sub-fractional Brownian motion when \(H>\frac{1}{2}\)

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