An Itô formula for generalized functionals of a fractional Brownian motion with arbitrary Hurst parameter

Christian Bender

Stochastic Processes and their Applications, 2003, vol. 104, issue 1, 81-106

Abstract: We consider fractional Brownian motions BtH with arbitrary Hurst coefficients 0

Keywords: Fractional; Brownian; motion; Fractional; white; noise; Ito; formula; Tanaka; formula; Local; time; Unified; treatment; for; arbitrary; Hurst; parameter (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (18)

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