Title of article :
An Isometric Approach to Generalized Stochastic Integrals
Author/Authors :
Yulia Mishura، نويسنده , , Esko Valkeila، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Abstract :
The possibility to extend the classical Itoʹʹs construction of stochastic integrals is studied. This construction can be applied to fractional Brownian motions with Hurst index H (element of) (0, 1/2). A change of variables formula for fractional Brownian motions in terms of the stochastic integrals is given.
Keywords :
fractional Brownian motions , stochastic integration
Journal title :
JOURNAL OF THEORETICAL PROBABILITY
Journal title :
JOURNAL OF THEORETICAL PROBABILITY