Tanaka formula for the fractional Brownian motion

Laure Coutin, David Nualart and Ciprian A. Tudor

Stochastic Processes and their Applications, 2001, vol. 94, issue 2, 301-315

Abstract: In this paper we find the Wiener chaos expansion for the local time of the fractional Brownian motion with Hurst parameter H and we derive a Tanaka formula in the case . As an application we deduce an Itô's formula for convex functions.

Keywords: Fractional; Brownian; motion; Local; time; Tanaka; formula (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (14)

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