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A Skohorod-Stratonovitch Integral for the Fractional Brownian Motion

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Stochastic Analysis and Related Topics VII

Part of the book series: Progress in Probability ((PRPR,volume 48))

Abstract

We give a fairly complete survey of the stochastic integration with respect to the fractional Brownian motion. We also show that a SkohorodStratonovitch type integral can be constructed for any value of the Hurst parameter H and that it coincides with the integral defined as a limit of Riemann sums.

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Author information

Authors and Affiliations

  1. Département Réseaux, Ecole Nationale Supérieure des Télécommunications, Paris, France

    L. Decreusefond

Authors
  1. L. Decreusefond
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Editor information

Editors and Affiliations

  1. Département Réseaux, Ecole Nationale Supérieure des Télécommunications, Paris Cedex 13, 75634, France

    Laurent Decreusefond  & Ali Süleyman Üstünel  & 

  2. Department of Mathematics, University of Oslo, N-0316, Oslo, Norway

    Bernt K. Øksendal

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Decreusefond, L. (2001). A Skohorod-Stratonovitch Integral for the Fractional Brownian Motion. In: Decreusefond, L., Øksendal, B.K., Üstünel, A.S. (eds) Stochastic Analysis and Related Topics VII. Progress in Probability, vol 48. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0157-1_7

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  • DOI: https://doi.org/10.1007/978-1-4612-0157-1_7

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  • Publisher Name: Birkhäuser, Boston, MA

  • Print ISBN: 978-1-4612-6638-9

  • Online ISBN: 978-1-4612-0157-1

  • eBook Packages: Springer Book Archive

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