Stochastic integration with respect to the sub-fractional Brownian motion with H∈(0,12)

Guangjun Shen and Chao Chen

Statistics & Probability Letters, 2012, vol. 82, issue 2, 240-251

Abstract: We define a stochastic integral with respect to sub-fractional Brownian motion SH with index H∈(0,12) that extends the divergence integral from Malliavin calculus. For this extended divergence integral, we establish versions of the formulas of Itô and Tanaka that hold for all H∈(0,12).

Keywords: Malliavin calculus; Sub-fractional Brownian motion; Stochastic integration; Itô and Tanaka formulas (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1016/j.spl.2011.10.002

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