An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter

Author:

Bender Christian

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference31 articles.

1. Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 12;Alòs;Stochastic Process. Appl.,2000

2. Stochastic calculus with respect to Gaussian processes;Alòs;Ann. Probab.,2001

3. Alòs, E., Nualart, D., 2000. Stochastic integration with respect to the fractional Brownian motion. Preprint, Barcelona.

4. Self-intersections and local nondeterminism of Gaussian processes;Berman;Ann. Probab.,1991

5. Carmona, P., Coutin, L., Montseny, G., 2000. Stochastic integration with respect to fractional Brownian motion. Preprint.

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