Forward integrals and an Ito formula for fractional Brownian motion

被引：5

作者：

Biagini, Francesca ^{[1
]}

Oksendal, Bernt ^{[2
,3
]}

机构：

[1] Univ Bologna, Dept Math, I-40127 Bologna, Italy

[2] Univ Oslo, Dept Math, CMA, N-0316 Oslo, Norway

[3] Norwegian Sch Econ & Business Adm, N-5045 Bergen, Norway

来源：

INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS | 2008年 / 11卷 / 02期

关键词：

forward integral; Wick-Ito-Skorohod integral; Wick product; Malliavin derivative; fractional Brownian motion; Ito formula;

D O I：

10.1142/S0219025708003105

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider the forward integral with respect ot fractional Brownian motion B((H))(t) and relate this to the Wick-Ito-Skorohod integral by using the M-operator introduced by Ref. 10 and the Malliavin derivative D(t)((H)). Using this connection we obtain a general Ito formula for the Wick-Ito-Skorohod integrals with respect to B(H)(t), valid for H epsilon (1/2,1).

引用

页码：157 / 177

页数：21

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