Stratonovich Calculus with Respect to Fractional Brownian Sheet
- Title
- Stratonovich Calculus with Respect to Fractional Brownian Sheet
- Authors
- Kim, YT; Park, HS; null
- Date Issued
- 2009-01
- Publisher
- TAYLOR & FRANCIS INC
- Abstract
- We introduce two types of Stratonovich stochastic integrals for two-parameter process. The relationship of Stratonovich integrals to Skorohod integrals will be investigated. By using this relationship, we prove that a differentiation formula for fractional Brownian sheet in Stratonovich form can be expressed as the sum of Stratonovich integrals of two types introduced in this article.
- Keywords
- Fractional Brownian sheet; Ito formula; Malliavin calculus; Skorohod integrals; Stratonovich stochastic integrals
- URI
- https://oasis.postech.ac.kr/handle/2014.oak/28145
- DOI
- 10.1080/07362990903136462
- ISSN
- 0736-2994
- Article Type
- Article
- Files in This Item:
- There are no files associated with this item.
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