Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2

DOI10.1080/07362990500522460zbMATH Open1103.60056OpenAlexW1966907652MaRDI QIDQ5488653FDOQ5488653

David Nualart, Jorge A. Leon

Publication date: 22 September 2006

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990500522460

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zbMATH Keywords

divergence operator

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05)

Cites Work

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• Stochastic calculus with respect to Gaussian processes
• Stochastic analysis of the fractional Brownian motion
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• Multiple Wiener integral
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
• An extension of the divergence operator for Gaussian processes
• The Representation of Functionals of Brownian Motion by Stochastic Integrals

Cited In (4)

• Group sequential tests under fractional Brownian motion in monitoring clinical trials
• Title not available (Why is that?)
• On the Clark-Ocone Theorem for Fractional Brownian Motions with Hurst Parameter bigger than a Half
• Sample size determination for group sequential test under fractional Brownian motion

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