An Itô formula for a fractional Brownian sheet with arbitrary Hurst parameters
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- by Yoon Tae Kim and Jong Woo Jeon PDF
- Proc. Amer. Math. Soc. 134 (2006), 3677-3683 Request permission
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 $H_{1}, H_{2}\in (0,1)$.References
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Additional Information
- 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
- Received by editor(s): December 17, 2004
- Received by editor(s) in revised form: July 5, 2005
- Published electronically: 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 2006
American Mathematical Society
The copyright for this article reverts to public domain 28 years after publication. - Journal: Proc. Amer. Math. Soc. 134 (2006), 3677-3683
- MSC (2000): Primary 60H07; Secondary 60G18
- DOI: https://doi.org/10.1090/S0002-9939-06-08466-8
- MathSciNet review: 2240682