Title of article
An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter
Author/Authors
Bender، نويسنده , , Christian، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
26
From page
81
To page
106
Abstract
We consider fractional Brownian motions BtH with arbitrary Hurst coefficients 0<H<1 and prove the following results: (i) An integral representation of the fractional white noise as generalized Wiener integral; (ii) an Itô formula for generalized functionals of BtH; (iii) an analogue of Tanakaʹs formula; (iv) a Clark–Ocone formula for Donskerʹs delta function of BtH; (v) an integral representation of the local time of BtH.
Keywords
Fractional Brownian motion , Fractional white noise , Itô formula , Tanaka formula , Local time , Unified treatment for arbitrary Hurst parameter
Journal title
Stochastic Processes and their Applications
Serial Year
2003
Journal title
Stochastic Processes and their Applications
Record number
1577186
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