FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION

DOI10.1142/S0219025708003105MaRDI QIDQ3519916zbMATH OpenOpenAlexFDO

Authors Francesca Biagini, B. Øksendal

Publication date 19 August 2008

Published in Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219025708003105

zbMATH Keywords

fractional Brownian motionItô formulaMalliavin derivativestochastic integralsWick-Itô-Skorochod integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Self-similar stochastic processes (60G18) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) White noise theory (60H40)

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Cites work

• m-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
• A General Fractional White Noise Theory And Applications To Finance
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter.
• Fractional stochastic integration and Black–Scholes equation for fractional Brownian model with stochastic volatility
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• scientific article; zbMATH DE number 428945 (Why is no real title available?)
• scientific article; zbMATH DE number 5361836 (Why is no real title available?)
• scientific article; zbMATH DE number 1478492 (Why is no real title available?)
• Integration with respect to fractal functions and stochastic calculus. II
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic calculus with anticipating integrands
• Stochastic calculus with respect to continuous finite quadratic variation processes
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance

Cited in

(13)

• An integral functional driven by fractional Brownian motion
• Forward and symmetric Wick-Itô integrals with respect to fractional Brownian motion
• A stochastic calculus for Rosenblatt processes
• Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review
• Itô formula for the infinite-dimensional fractional Brownian motion
• Nonexplosion Criteria for Solutions of SDE with Fractional Brownian Motion
• Itô's formula for linear fractional PDEs
• The Itô integral for Brownian motion in vector lattices. I
• Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motions
• General transfer formula for stochastic integral with respect to multifractional Brownian motion
• A study of anomalous stochastic processes via generalizing fractional calculus
• Long-range dependence and asset return anomaly
• Before and after default: information and optimal portfolio via anticipating calculus

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