MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
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Publication:3502800
DOI10.1142/S0219493707002050zbMath1139.60321arXivmath/0703087OpenAlexW2048563274MaRDI QIDQ3502800
Khalifa Es-Sebaiy, Ciprian A. Tudor
Publication date: 20 May 2008
Published in: Stochastics and Dynamics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0703087
Gaussian processes (60G15) General second-order stochastic processes (60G12) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)
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Cites Work
- Quadratic variations along irregular subdivisions for Gaussian processes
- Stochastic analysis of the fractional Brownian motion
- The asymptotic behaviour of local times and occupation integrals of the \(N\)-parameter Wiener process in \(\mathbb{R}^ d\)
- Sub-fractional Brownian motion and its relation to occupation times
- Tanaka formula for multidimensional Brownian motions
- Tanaka formula for the fractional Brownian motion.
- \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
- Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Identification of the multiscale fractional Brownian motion with biomechanical applications
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