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：
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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.
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页码：212 / 216
页数：5
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