MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS-Reference-Cited by-同舟云学术

MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS

Published:2007-09 Issue:03 Volume:07 Page:365-388
ISSN:0219-4937
Container-title:Stochastics and Dynamics
language:en
Short-container-title:Stoch. Dyn.

Author:

ES-SEBAIY KHALIFA¹,TUDOR CIPRIAN A.²

Affiliation:

1. Department of Mathematics, Faculty of Sciences Semlalia, Cadi Ayyad University 2390 Marrakesh, Morocco

2. SAMOS/MATISSE, Centre d'Economie de La Sorbonne, Université de Panthéon-Sorbonne Paris 1, 90, rue de Tolbiac, 75634 Paris Cedex 13, France

Abstract

Using the Malliavin calculus with respect to Gaussian processes and the multiple stochastic integrals, we derive Itô's and Tanaka's formulas for the d-dimensional bifractional Brownian motion.

Publisher

World Scientific Pub Co Pte Lt

Subject

Modelling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219493707002050

Reference17 articles.

1. Stochastic Calculus with Respect to Gaussian Processes

2. Generalized Multifractional Brownian Motion: Definition and Preliminary Results

3. Identification of the multiscale fractional Brownian motion with biomechanical applications

4. Quadratic Variations along Irregular Subdivisions for Gaussian Processes

5. Sub-fractional Brownian motion and its relation to occupation times

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