An Isometric Approach to Generalized Stochastic Integrals

Yulia Mishura () and Esko Valkeila ()
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Yulia Mishura: Kiev University
Esko Valkeila: University of Helsinki

Journal of Theoretical Probability, 2000, vol. 13, issue 3, 673-693

Abstract: Abstract The possibility to extend the classical Ito's construction of stochastic integrals is studied. This construction can be applied to fractional Brownian motions with Hurst index H∈(0, 1/2). A change of variables formula for fractional Brownian motions in terms of the stochastic integrals is given.

Keywords: fractional Brownian motions; stochastic integration (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1007854310936

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