On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
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Publication:4464388
DOI10.1080/19451120310001642613zbMath1043.60027MaRDI QIDQ4464388
Christian Bender, Robert J. Elliott
Publication date: 27 May 2004
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/19451120310001642613
fractional Brownian motion; quasi-conditional expectation; fractional Clark-Ocone formula; fractional chaos expansion
60G15: Gaussian processes
60H40: White noise theory
60H05: Stochastic integrals
60H07: Stochastic calculus of variations and the Malliavin calculus
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