Stochastic analysis of the fractional Brownian motion

被引：540

作者：

Decreusefond, L ^{[1
]}

Üstünel, AS ^{[1
]}

机构：

[1] Ecole Natl Super Telecommun, F-75634 Paris, France

来源：

POTENTIAL ANALYSIS | 1999年 / 10卷 / 02期

关键词：

fractional Brownian motion; stochastic calculus of variations; Ito formula; Girsanov formula;

D O I：

10.1023/A:1008634027843

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Since the fractional Brownian motion is not a semi-martingale, the usual Ito calculus cannot be used to define a full stochastic calculus. However, in this work, we obtain the Ito formula, the Ito-Clark representation formula and the Girsanov theorem for the functionals of a fractional Brownian motion using the stochastic calculus of variations.

引用

页码：177 / 214

页数：38

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