m-order integrals and generalized Itô's formula ; the case of a fractional brownian motion with any Hurst index

Mihai Gradinaru; Ivan Nourdin; Francesco Russo; Pierre Vallois

Annales de l'I.H.P. Probabilités et statistiques (2005)

  • Volume: 41, Issue: 4, page 781-806
  • ISSN: 0246-0203

How to cite


Gradinaru, Mihai, et al. "m-order integrals and generalized Itô's formula ; the case of a fractional brownian motion with any Hurst index." Annales de l'I.H.P. Probabilités et statistiques 41.4 (2005): 781-806. <http://eudml.org/doc/77867>.

author = {Gradinaru, Mihai, Nourdin, Ivan, Russo, Francesco, Vallois, Pierre},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
language = {eng},
number = {4},
pages = {781-806},
publisher = {Elsevier},
title = {m-order integrals and generalized Itô's formula ; the case of a fractional brownian motion with any Hurst index},
url = {http://eudml.org/doc/77867},
volume = {41},
year = {2005},

AU - Gradinaru, Mihai
AU - Nourdin, Ivan
AU - Russo, Francesco
AU - Vallois, Pierre
TI - m-order integrals and generalized Itô's formula ; the case of a fractional brownian motion with any Hurst index
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2005
PB - Elsevier
VL - 41
IS - 4
SP - 781
EP - 806
LA - eng
UR - http://eudml.org/doc/77867
ER -


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Citations in EuDML Documents

  1. Haifeng Yang, Tin Lam Toh, On Henstock-Kurzweil method to Stratonovich integral
  2. Ivan Nourdin, David Nualart, Ciprian A. Tudor, Central and non-central limit theorems for weighted power variations of fractional brownian motion
  3. Mihai Gradinaru, Ivan Nourdin, Milstein’s type schemes for fractional SDEs
  4. Franco Flandoli, Massimiliano Gubinelli, Francesco Russo, On the regularity of stochastic currents, fractional brownian motion and applications to a turbulence model

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