A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4
نویسنده
چکیده
We prove a change of variable formula for the 2D fractional Brownian motion of index H bigger or equal to 1/4. For H strictly bigger than 1/4, our formula coincides with that obtained by using the rough paths theory. For H = 1/4 (the more interesting case), there is an additional term that is a classical Wiener integral against an independent standard Brownian motion.
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