STOCHASTIC STRATONOVICH CALCULUS fBm FOR FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER LESS THAN 1/2

By E. Alòs, Jorge A. León, David Nualart. 2001

50 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d9e6dc59a7b160af0e015ef9f597b6b1c601723c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Francesco Russo
2. Mihai Gradinaru
3. Pierre Vallois
4. David Nualart
5. Ivan Nourdin
6. Ciprian A. Tudor
7. Patrick Cheridito
8. Jason Swanson

Citations in the corpus

• Malliavin Calculus for Fractional Delay Equations (2009, unknown): “Furthermore, by [1], the inner product in H can be written as 〈φ,ψ〉H = cH ∫ T”
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12) (2005, methodology): “For more details, see [1] or the introduction of [12].”
• Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index H>=1/4 (2003, methodology): “In particular [2] includes the case of a fractional Brownian motion BH such that H > 14 .”