FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION
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Publication:3519916
DOI10.1142/S0219025708003105zbMath1149.60035MaRDI QIDQ3519916
Bernt Øksendal, Francesca Biagini
Publication date: 19 August 2008
Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)
fractional Brownian motion; Itô formula; stochastic integrals; Malliavin derivative; Wick-Itô-Skorochod integral
60G15: Gaussian processes
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H40: White noise theory
60H05: Stochastic integrals
60H07: Stochastic calculus of variations and the Malliavin calculus
60G18: Self-similar stochastic processes
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