Proceedings of the American Mathematical Society

Author(s): Yoon Tae Kim; Jong Woo Jeon
Journal: Proc. Amer. Math. Soc. 134 (2006), 3677-3683.
MSC (2000): Primary 60H07; Secondary 60G18
Posted: June 9, 2006
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Abstract: By using the white noise theory for a fractional Brownian sheet, we derive an Itô formula for the fractional Brownian sheet with arbitrary Hurst parameters $H_{1}, H_{2}\in (0,1)$ .

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Hu, Y., Øksendal, B. and Zhang, T. (2004). ``General fractional multiparameter white noise theory and stochastic partial differential equations", Comm. Partial Differential Equations, 29, no. 1-2, 1-23.MR 2038141 (2005b:60174)

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Retrieve articles in Proceedings of the American Mathematical Society with MSC (2000): 60H07, 60G18

Yoon Tae Kim
Affiliation: Department of Statistics, Hallym University, Chuncheon, Kangwon-do 200-702, South Korea
Email: ytkim@hallym.ac.kr

Jong Woo Jeon
Affiliation: Department of Statistics, Seoul National University, Shilim-dong, Kwanak-gu, Seoul 151-742, South Korea
Email: jwjeon@plaza.snu.ac.kr

DOI: 10.1090/S0002-9939-06-08466-8
PII: S 0002-9939(06)08466-8
Keywords: Fractional Brownian sheet, It\^o formula, fractional white noise
Received by editor(s): December 17, 2004
Received by editor(s) in revised form: July 5, 2005
Posted: June 9, 2006
Additional Notes: This research was supported (in part) by KOSEF through the Statistical Research Center for Complex Systems at Seoul National University, by KOSEF Grant R05-2004-000-11516-0, and by a research grant from Hallym University
Communicated by: Richard C. Bradley
Copyright of article: Copyright 2006, American Mathematical Society
The copyright for this article reverts to public domain after 28 years from publication.

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