Title of article :
Differentiation formula in Stratonovich version for fractional Brownian sheet
Author/Authors :
Kim، نويسنده , , Yoon Tae and Jeon، نويسنده , , Jong Woo and Park، نويسنده , , Hyun Suk، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2009
Abstract :
We introduce two types of the Stratonovich stochastic integrals for two-parameter processes, and investigate the relationship of these Stratonovich integrals and various types of Skorohod integrals with respect to a fractional Brownian sheet. By using this relationship, we derive a differentiation formula in the Stratonovich sense for fractional Brownian sheet through Itô formula. Also the relationship between the two types of the Stratonovich integrals will be obtained and used to derive a differentiation formula in the Stratonovich sense. In this case, our proof is based on the repeated applications of differentiation formulas in the Stratonovich form for one-parameter Gaussian processes.
Keywords :
Malliavin derivative , Stratonovich stochastic integral , Differentiation formula , Fractional Brownian sheet
Journal title :
Journal of Mathematical Analysis and Applications
Journal title :
Journal of Mathematical Analysis and Applications