Stochastic integration with respect to the fractional Brownian motion
- 1 June 2003
- journal article
- other
- Published by Taylor & Francis in Stochastics and Stochastic Reports
- Vol. 75 (3) , 129-152
- https://doi.org/10.1080/1045112031000078917
Abstract
We develop a stochastic calculus for the fractional Brownian motion with Hurst parameter using the techniques of the Malliavin calculus. We establish estimates in L p , maximal inequalities and a continuity criterion for the stochastic integral. Finally, we derive an Itô's formula for integral processes.Keywords
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