$Ito’s formula with respect to fractional Brownian motion and its application$

Ito’s formula with respect to fractional Brownian motion and its application

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Article ID:	iaor19972029
Country:	United States
Volume:	9
Issue:	4
Start Page Number:	439
End Page Number:	448
Publication Date:	Dec 1996
Journal:	Journal of Applied Mathematics and Stochastic Analysis
Authors:	Heyde C.C., Dai W.
Keywords:	probability

Abstract:

Fractional Brownian motion (FBM) with Hurst index 1/2<H<1 is not a semimartingale. Consequently, the standard Ito calculus is not available for stochastic integrals with respect to FBM áConsequently, the standard It

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