Itô formula for the two-parameter fractional Brownian motion using the extended divergence operator

DOI10.1080/17442500601014912zbMATH Open1116.60023OpenAlexW2106404281MaRDI QIDQ3426326FDOQ3426326

Authors: Ciprian A. Tudor, Frederi Viens 

Publication date: 8 March 2007

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500601014912

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zbMATH Keywords

Malliavin calculusHurst parameterBrownian sheetSkorokhod integralGaussian regularityFractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cites Work

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• Stochastic calculus with respect to Gaussian processes
• Forward, backward and symmetric stochastic integration
• System Control and Rough Paths
• Tanaka formula for the fractional Brownian motion.
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• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• Sharp Gaussian regularity on the circle, and applications to the fractional stochastic heat equation
• Skorohod integration and stochastic calculus beyond the fractional Brownian scale
• Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
• An extension of the divergence operator for Gaussian processes
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Cited In (12)

• An extension of the divergence operator for Gaussian processes
• An Itô formula for a fractional Brownian sheet with arbitrary Hurst parameters
• The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes
• The Itô formula for fractional Brownian fields
• Least squares estimator for the parameter of the fractional Ornstein-Uhlenbeck sheet
• Some linear fractional stochastic equations
• The fBm Itô's formula through analytic continuation
• A note on Itō formula for fractional Brownian sheet with Hurst parameters \(H_1,H_2\in(0,1)\)
• Differentiation formula in Stratonovich version for fractional Brownian sheet
• Various types of stochastic integrals with respect to fractional Brownian sheet and their applications
• A note on the differentiation formula in Stratonovich type for fractional Brownian sheet
• Title not available (Why is that?)

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