Integral transformations and anticipative calculus for fractional Brownian motions

DOI10.1090/memo/0825zbMath1072.60044MaRDI QIDQ3022807

Yaozhong Hu

Publication date: 30 June 2005

Published in: Memoirs of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/memo/0825

zbMATH Keywords

approximation; conditioning; Riccati equation; Radon-Nikodym derivative; Itô formula; stochastic integral; integration by parts formula; linear quadratic control; \(L_p\) estimate; continuous modification; Meyer's inequality; Clark derivative; integro-differential transformation; nonliner translation; probability structure preserving

Mathematics Subject Classification ID

60G15: Gaussian processes

26A33: Fractional derivatives and integrals

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

60G30: Continuity and singularity of induced measures

44A05: General integral transforms

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