Stochastic Calculus for Fractional Brownian Motion I. Theory

Abstract

This paper describes some of the results in [5] for a stochastic calculus for a fractional Brownian motion with the Hurst parameter in the interval (1/2, 1). Two stochastic integrals are defined with explicit expressions for their first two moments. Multiple and iterated integrals of a fractional Browinian motion are defined and various properties of these… (More)
DOI: 10.1137/S036301299834171X

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