Itô formula for the infinite-dimensional fractional Brownian motion

Tudor, Ciprian A.

J. Math. Kyoto Univ., Tome 45 (2005) no. 4, p. 531-546 / Harvested from Project Euclid

Résumé

We introduce the stochastic integration with respect to the infinitedimensional fractional Brownian motion. Using the techniques of the anticipating stochastic calculus, we derive an Itô formula for Hurst parameter bigger than $\frac{1}{2}$.

Publié le : 2005-05-15
Classification: 60H05, 60G15, 60H07

@article{1250281972,
     author = {Tudor, Ciprian A.},
     title = {It\^o formula for the infinite-dimensional fractional Brownian motion},
     journal = {J. Math. Kyoto Univ.},
     volume = {45},
     number = {4},
     year = {2005},
     pages = { 531-546},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1250281972}
}

Tudor, Ciprian A. Itô formula for the infinite-dimensional fractional Brownian motion. J. Math. Kyoto Univ., Tome 45 (2005) no. 4, pp.  531-546. http://gdmltest.u-ga.fr/item/1250281972/