Stochastic integration with respect to fractional brownian motion

Philippe Carmona; Laure Coutin; Gérard Montseny

Annales de l'I.H.P. Probabilités et statistiques (2003)

  • Volume: 39, Issue: 1, page 27-68
  • ISSN: 0246-0203

How to cite


Carmona, Philippe, Coutin, Laure, and Montseny, Gérard. "Stochastic integration with respect to fractional brownian motion." Annales de l'I.H.P. Probabilités et statistiques 39.1 (2003): 27-68. <>.

author = {Carmona, Philippe, Coutin, Laure, Montseny, Gérard},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {Gaussian process; stochastic integral; Malliavin calculus; fractional integration},
language = {eng},
number = {1},
pages = {27-68},
publisher = {Elsevier},
title = {Stochastic integration with respect to fractional brownian motion},
url = {},
volume = {39},
year = {2003},

AU - Carmona, Philippe
AU - Coutin, Laure
AU - Montseny, Gérard
TI - Stochastic integration with respect to fractional brownian motion
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2003
PB - Elsevier
VL - 39
IS - 1
SP - 27
EP - 68
LA - eng
KW - Gaussian process; stochastic integral; Malliavin calculus; fractional integration
UR -
ER -


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Citations in EuDML Documents

  1. Raluca M. Balan, Lp-theory for the stochastic heat equation with infinite-dimensional fractional noise
  2. Patrick Cheridito, David Nualart, Stochastic integral of divergence type with respect to fractional brownian motion with Hurst parameter H ( 0 , 1 2 )
  3. Raluca M. Balan, -theory for the stochastic heat equation with infinite-dimensional fractional noise
  4. Annie Millet, Marta Sanz-Solé, Large deviations for rough paths of the fractional brownian motion
  5. L. Decreusefond, Stochastic integration with respect to Volterra processes
  6. Mihai Gradinaru, Ivan Nourdin, Francesco Russo, Pierre Vallois, m-order integrals and generalized Itô's formula ; the case of a fractional brownian motion with any Hurst index
  7. David Nualart, Stochastic calculus with respect to fractional Brownian motion

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