Stratonovich Calculus with Respect to Fractional Brownian Sheet

被引：4

作者：

Kim, Yoon Tae ^{[2
]}

Park, Hyun Suk ^{[1
]}

机构：

[1] Pohang Univ Sci & Technol, Pohang Math Inst, Pohang 790784, South Korea

[2] Hallym Univ, Dept Stat, Chunchon, Kangwon Do, South Korea

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2009年 / 27卷 / 05期

关键词：

Fractional Brownian sheet; Ito formula; Malliavin calculus; Skorohod integrals; Stratonovich stochastic integrals;

D O I：

10.1080/07362990903136462

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We introduce two types of Stratonovich stochastic integrals for two-parameter process. The relationship of Stratonovich integrals to Skorohod integrals will be investigated. By using this relationship, we prove that a differentiation formula for fractional Brownian sheet in Stratonovich form can be expressed as the sum of Stratonovich integrals of two types introduced in this article.

引用

页码：962 / 983

页数：22

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