A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4
| dc.creator | Nourdin, Ivan | |
| dc.date | 2008-06-13 | |
| dc.date | 2008-10-03 | |
| dc.date.accessioned | 2026-07-07T10:06:58Z | |
| dc.date.available | 2026-07-07T10:06:58Z | |
| dc.description | We prove a change of variable formula for the 2D fractional Brownian motion of index H bigger of equal to 1/4. For H strictly bigger than 1/4, our formula coincides with that obtained by using the rough paths theory. For H=1/4 (the more interesting case), there is an additional term that is a classical Wiener integral against an independent standard Brownian motion. | |
| dc.description | 16 pages; to appear in Journal of Functional Analysis | |
| dc.identifier | https://arxiv.org/abs/0806.2248 | |
| dc.identifier | http://arxiv.org/abs/0806.2248 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/170474 | |
| dc.subject | Probability | |
| dc.title | A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4 | |
| dc.type | text |