An S-transform approach to integration with respect to a fractional Brownian motion
نویسندگان
چکیده
منابع مشابه
Stochastic integration with respect to the fractional Brownian motion
We develop a stochastic calculus for the fractional Brownian motion with Hurst parameter H > 2 using the techniques of the Malliavin calclulus. We establish estimates in Lp, maximal inequalities and a continuity criterion for the stochastic integral. Finally, we derive an Itô’s formula for integral processes.
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2003
ISSN: 1350-7265
DOI: 10.3150/bj/1072215197