Stochastic Stratonovich calculus fBm for fractional Brownian motion with Hurst parameter less than 1/2

被引：0

作者：

Alòs, E ^{[1
]}

León, JA

Nualart, D

机构：

[1] Univ Autonoma Barcelona, Fac Ciencies, Dept Matemat, E-08193 Barcelona, Spain

[2] Inst Politecn Nacl, CINVESTAV, Dept Matemat, Mexico City 07000, DF, Mexico

[3] Univ Barcelona, Fac Matemat, E-08007 Barcelona, Spain

来源：

TAIWANESE JOURNAL OF MATHEMATICS | 2001年 / 5卷 / 03期

关键词：

stochastic calculus; Stratonovich integral; Malliavin calculus; fractional Brownian motion; stochastic differential equations;

D O I：

暂无

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In this paper we introduce a Stratonovich type stochastic integral with respect to the fractional Brownian motion with Hurst parameter less than 1/2. Using the techniques of the Malliavin calculus, we provide sufficient conditions for a process to be integrable. We deduce an Ito formula and we apply these results to study stochastic differential equations driven by a fractional Brownian motion with Hurst parameter less than 1/2.

引用

页码：609 / 632

页数：24

共 24 条

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