MISC

2008年

On the weighted local time and the Tanaka formula for the multidimensional fractional Brownian motion

STOCHASTIC ANALYSIS AND APPLICATIONS
  • Hideaki Uemura

26
1
開始ページ
136
終了ページ
168
記述言語
英語
掲載種別
DOI
10.1080/07362990701726365
出版者・発行元
TAYLOR & FRANCIS INC

We determine the weighted local time for the multidimensional fractional Brownian motion from the occupation time formula. We also discuss on the Ito and Tanaka formula for the multidimensional fractional Brownian motion. In these formulas the Skorohod integral is applicable if the Hurst parameter of fractional Brownian motion is greater than 1/2. If the Hurst parameter is less than 1/2, then we use the Skorohod type integral introduced by Nualart and Zakai for the stochastic integral and establish the Ito and Tanaka formulas.

リンク情報
DOI
https://doi.org/10.1080/07362990701726365
Web of Science
https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcAuth=JSTA_CEL&SrcApp=J_Gate_JST&DestLinkType=FullRecord&KeyUT=WOS:000252354600009&DestApp=WOS_CPL
ID情報
  • DOI : 10.1080/07362990701726365
  • ISSN : 0736-2994
  • Web of Science ID : WOS:000252354600009

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