Stochastic Green's theorem for fractional Brownian sheet and its application

DOI10.1016/J.JKSS.2011.08.008MaRDI QIDQ459488zbMATH OpenOpenAlexFDO

Authors Jong Woo Jeon, Yoon Tae Kim

Publication date 13 October 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2011.08.008

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=It%EF%BF%BD%EF%BF%BD+formula&go=Go It�� formula]fractional Brownian sheetstochastic Green's theoremstochastic line integralswhite noise theory

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) White noise theory (60H40)

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Cites work

• scientific article; zbMATH DE number 936525 (Why is no real title available?)
• A General Fractional White Noise Theory And Applications To Finance
• A note on Itō formula for fractional Brownian sheet with Hurst parameters H₁,H₂(0,1)
• An Itô formula for a fractional Brownian sheet with arbitrary Hurst parameters
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• Differentiation formula in Stratonovich version for fractional Brownian sheet
• General Fractional Multiparameter White Noise Theory and Stochastic Partial Differential Equations
• Itô formula and local time for the fractional {B}rownian sheet
• Stochastic integrals in the plane
• Stratonovich Calculus with Respect to Fractional Brownian Sheet
• Various types of stochastic integrals with respect to fractional Brownian sheet and their applications
• Wick integration with respect to fractional Brownian sheet

Cited in

(6)

• Green's formula, planar Brownian bridge, and Lévy's area
• Fractional stochastic Volterra equation perturbed by fractional Brownian motion
• Stochastic elastic equation driven by fractional Brownian motion
• Stochastic elastic equation driven by multiplicative multi-parameter fractional noise
• A note on Itō formula for fractional Brownian sheet with Hurst parameters H₁,H₂(0,1)
• An Itô Formula of Generalized Functionals and Local Time for Fractional Brownian Sheet

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