Multiple fractional integral with Hurst parameter less than

Xavier Bardina and Maria Jolis

Stochastic Processes and their Applications, 2006, vol. 116, issue 3, 463-479

Abstract: We construct a multiple Stratonovich-type integral with respect to the fractional Brownian motion with Hurst parameter . This integral is obtained by a limit of Riemann sums procedure in the Solé and Utzet [Stratonovich integral and trace, Stochastics Stochastics Rep. 29 (2) (1990) 203-220] sense. We also define the suitable traces to obtain the Hu-Meyer formula that gives the Stratonovich integral as a sum of Itô integrals of these traces. Our approach is intrinsic in the sense that we do not make use of the integral representation of the fractional Brownian motion in terms of the ordinary Brownian motion.

Keywords: Fractional; Brownian; motion; Hu-Meyer; formula; Ito-type; multiple; integral; Stratonovich; multiple; integral (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(05)00139-0
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:116:y:2006:i:3:p:463-479

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().