Stratonovich Calculus with Respect to Fractional Brownian Sheet

DOI10.1080/07362990903136462zbMath1192.60080MaRDI QIDQ3182403

Yoon Tae Kim, Hyun Suk Park

Publication date: 8 October 2009

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

Full work available at URL: https://doi.org/10.1080/07362990903136462

zbMATH Keywords

Malliavin calculus; Itô formula; fractional Brownian sheet; Stratonovich stochastic integrals; Skorohod integrals

Mathematics Subject Classification ID

60G60: Random fields

60G22: Fractional processes, including fractional Brownian motion

60H07: Stochastic calculus of variations and the Malliavin calculus

60G18: Self-similar stochastic processes

Related Items

Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet, Stochastic Green's theorem for fractional Brownian sheet and its application, Wiener integrals with respect to the Hermite random field and applications to the wave equation, Wick integration with respect to fractional Brownian sheet

Cites Work

• Forward, backward and symmetric stochastic integration
• Itô formula and local time for the fractional {B}rownian sheet
• Various types of stochastic integrals with respect to fractional Brownian sheet and their applications
• The Malliavin Calculus and Related Topics
• Stochastic calculus with respect to Gaussian processes