An integral functional driven by fractional Brownian motion

Xichao Sun, Litan Yan and Xianye Yu

Stochastic Processes and their Applications, 2019, vol. 129, issue 7, 2249-2285

Abstract: Let BH be a fractional Brownian motion with Hurst index 0Keywords: Fractional Brownian motion; Malliavin calculus; Local time; Fractional Itô formula; Cauchy’s principal value (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spa.2018.07.004

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