An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach

DOI10.1016/J.SPA.2007.11.002MaRDI QIDQ952826zbMATH OpenOpenAlexFDO

Authors David Nualart, Salvador Ortiz-Latorre

Publication date 14 November 2008

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2007.11.002

zbMATH Keywords

Gaussian processesFractional Brownian motionMalliavin calculus, Riemann sums approachItô-Stratonovich formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 2096694 (Why is no real title available?)
• An inequality of the Hölder type, connected with Stieltjes integration
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• Differential equations driven by rough signals
• Fractional Brownian motion: theory and applications
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
• Integration with respect to fractal functions and stochastic calculus. I
• On bifractional Brownian motion
• Stochastic analysis of the fractional Brownian motion
• Stochastic analysis, rough path analysis and fractional Brownian motions.
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• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• Stochastic integration with respect to fractional Brownian motion
• The Malliavin Calculus and Related Topics
• Wick-Itô Formula for Gaussian Processes
• m-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index

Cited in

(8)

• Central limit theorem for a Stratonovich integral with Malliavin calculus
• Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes
• A Stratonovich-Skorohod integral formula for Gaussian rough paths
• Infinite-dimensional Ito processes with respect to Gaussian random measures and the Ito formula
• A Variable Step Size Riemannian Sum for an Itô Integral
• On Stratonovich and Skorohod stochastic calculus for Gaussian processes
• Differentiation formula in Stratonovich version for fractional Brownian sheet
• Wick-Itô Formula for Gaussian Processes

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