An Itô-Stratonovich formula for Gaussian processes: A Riemann sums approach
DOI10.1016/J.SPA.2007.11.002zbMATH Open1159.60018OpenAlexW2052689026MaRDI QIDQ952826FDOQ952826
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
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Cites Work
- The Malliavin Calculus and Related Topics
- Differential equations driven by fractional Brownian motion
- On bifractional Brownian motion
- Title not available (Why is that?)
- Stochastic calculus with respect to Gaussian processes
- Integration with respect to fractal functions and stochastic calculus. I
- Differential equations driven by rough signals
- An inequality of the Hölder type, connected with Stieltjes integration
- Stochastic analysis of the fractional Brownian motion
- \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
- Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index \(H\geq\frac 1 4\).
- Stochastic analysis, rough path analysis and fractional Brownian motions.
- Approximation at first and second order of {\(m\)}-order integrals of the fractional {B}rownian motion and of certain semimartingales
- Stochastic integration with respect to fractional Brownian motion
- Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
- Wick-Itô Formula for Gaussian Processes
- Fractional Brownian motion: theory and applications
- Stochastic calculus with respect to continuous finite quadratic variation processes
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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