Multiple fractional integrals through Gamma-mixed Ornstein-Uhlenbeck process

zbMATH Open1212.60092MaRDI QIDQ3580751FDOQ3580751

Maria Tudor, Constantin Tudor

Publication date: 13 August 2010

zbMATH Keywords

fractional Brownian motionmultiple Stratonovich integraltrace of a functionmultiple Wiener-Itô integralsquare mean approximation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Cited In (2)

• Gamma variates of fractional shape as functioials of a homogeneous multidimensional poisson process
• On integration by parts formula and characterization of fractional Ornstein-Uhlenbeck process

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