On a Multiple Stratonovich-type Integral for Some Gaussian Processes

Maria Jolis ()
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Maria Jolis: Universitat Autònoma de Barcelona

Journal of Theoretical Probability, 2006, vol. 19, issue 1, 121-133

Abstract: Abstract We construct a multiple Stratonovich-type integral with respect to Gaussian processes with covariance function of bounded variation. This construction is based on the previous definition of the multiple Itô-type integral given by Huang and Cambanis [Ann. Propab. 6(4), 585–614] and on a Hu–Meyer formula (that is, an expression of the multiple Stratonovich integral as a sum of Itô-type integrals of inferior or equal order) for the elementary functions. We also apply our results to the fractional Brownian motion with Hurst parameter $$H > \frac{1}{2}$$ .

Keywords: Itô-type multiple integral; Stratonovich multiple integral; Hu–Meyer formula (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s10959-006-0006-5

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