On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion

Author:

Jung PaulORCID,Markowsky Greg

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference32 articles.

1. Stochastic Calculus for Fractional Brownian Motion and Applications;Biagini,2008

2. An introduction to white-noise theory and Malliavin calculus for fractional Brownian motion;Biagini;Proc. R. Soc. Lond. Ser. A Math. Phys. Eng. Sci.,2004

3. Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0, 1/2);Cheridito,2005

4. A general fractional white noise theory and applications to finance;Elliott;Math. Finance,2003

5. White Noise: An Infinite Dimensional Calculus;Hida,1993

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