✦ LIBER ✦

FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION

✍ Scribed by BIAGINI, FRANCESCA; ØKSENDAL, BERNT

Book ID: 121262051
Publisher: World Scientific Publishing Company
Year: 2008
Tongue: English
Weight: 274 KB
Volume: 11
Category: Article
ISSN: 0219-0257
DOI: 10.1142/S0219025708003105

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

m-order integrals and generalized Itô's

m-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index

✍ Mihai Gradinaru; Ivan Nourdin; Francesco Russo; Pierre Vallois 📂 Article 📅 2005 🏛 Elsevier Science 🌐 English ⚖ 248 KB

Itô’s formula for Walsh’s Brownian motio

Itô’s formula for Walsh’s Brownian motion and applications

✍ Hajri, Hatem; Touhami, Wajdi 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 368 KB

Harnack inequality and derivative formul

Harnack inequality and derivative formula for SDE driven by fractional Brownian motion

✍ XiLiang Fan 📂 Article 📅 2013 🏛 SP Science China Press 🌐 English ⚖ 196 KB

On the two-parameter fractional Brownian

On the two-parameter fractional Brownian motion and Stieltjes integrals for Hölder functions

✍ Constantin Tudor; Maria Tudor 📂 Article 📅 2003 🏛 Elsevier Science 🌐 English ⚖ 238 KB

We extend the Stieltjes integral to Hölder functions of two variables and prove an existence and uniqueness result for the corresponding deterministic ordinary differential equations and also for stochastic equations driven by a two-parameter fractional Brownian motion.

An Itô formula for a family of stochasti

An Itô formula for a family of stochastic integrals and related Wong–Zakai theorems

✍ Da Pelo, Paolo; Lanconelli, Alberto; Stan, Aurel I. 📂 Article 📅 2013 🏛 Elsevier Science 🌐 English ⚖ 231 KB

An introduction to white-noise theory an

An introduction to white-noise theory and Malliavin calculus for fractional Brownian motion

✍ Biagini, F.; Oksendal, B.; Sulem, A.; Wallner, N. 📂 Article 📅 2004 🏛 The Royal Society 🌐 English ⚖ 421 KB