| Título: | Ito Formula and Local Time for the Fractional Brownian Sheet |
| Autores: |
Tudor, Ciprian A.; Laboratoire de Probabilit'{e}s, Universit'{e} de Paris 6 Viens, Frederi G.; Purdue University |
| Fecha: | 2003-01-01 |
| Publicador: | Electronic journal of probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
fractional Brownian sheet, Ito formula, local time, Tanaka formula, Malliavin calculus. primary 60H07; secondary 60G18; 60G15; 60J55. |
| Descripción: | Using the techniques of the stochastic calculus of variations for Gaussian processes, we derive an It^{o} formula for the fractional Brownian sheet with Hurst parameters bigger than $1/2$. As an application, we give a stochastic integral representation for the local time of the fractional Brownian sheet. |
| Idioma: | No aplica |
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