Stochastic calculus for fractional Brownian motion. I: Theory

被引：0

作者：

Duncan, TE ^{[1
]}

Hu, YZ ^{[1
]}

Pasik-Duncan, B ^{[1
]}

机构：

[1] Univ Kansas, Dept Math, Lawrence, KS 66045 USA

来源：

PROCEEDINGS OF THE 39TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-5 | 2000年

关键词：

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

This paper describes some of the results in [5] for a stochastic calculus for a fractional Brownian motion with the Hurst parameter in the interval (1/2, 1). Two stochastic integrals are defined with explicit expressions for their first two moments. Multiple and iterated integrals of a fractional Browinian motion are defined and various properties of these integrals axe given. A square integrable functional on a probability space of a fractional Brownian motion is expressed as an infinite series of multiple integrals.

引用

页码：212 / 216

页数：5

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