Longjin, Lv; Ren, Fu-Yao; Qiu, Wei-Yuan - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 21, pp. 4809-4818
In this paper, in order to establish connection between fractional derivative and fractional Brownian motion (FBM), we first prove the validity of the fractional Taylor formula proposed by Guy Jumarie. Then, by using the properties of this Taylor formula, we derive a fractional Itô formula for...