The Itô formula for fractional Brownian fields

MaRDI QIDQ5488434zbMATH OpenFDO

Authors Svitlana A. Il'Chenko, Yuliya S. Mishura

Publication date 19 September 2006

Full work available at URL http://www.ams.org/tpms/2004-69-00/S0094-9000-05-00622-8/home.html

zbMATH Keywords

stochastic integralHurst indexHölder field

Mathematics Subject Classification ID

Random fields (60G60) Stochastic integrals (60H05)

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• Stochastic Calculus for Fractional Brownian Motion I. Theory
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Cited in

(5)

• scientific article; zbMATH DE number 1160860 (Why is no real title available?)
• Itô's formula for linear fractional PDEs
• scientific article; zbMATH DE number 1619472 (Why is no real title available?)
• Differentiation formula in Stratonovich version for fractional Brownian sheet
• Itô formula and local time for the fractional {B}rownian sheet

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