Stochastic integration with respect to the sub-fractional Brownian motion with H∈(0,12)

We define a stochastic integral with respect to sub-fractional Brownian motion SH with index H∈(0,12) that extends the divergence integral from Malliavin calculus. For this extended divergence integral, we establish versions of the formulas of Itô and Tanaka that hold for all H∈(0,12).

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Year of publication:	2012
Authors:	Shen, Guangjun ; Chen, Chao
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 2, p. 240-251
Publisher:	Elsevier
Subject:	Malliavin calculus \| Sub-fractional Brownian motion \| Stochastic integration \| Itô and Tanaka formulas

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011039984