| dc.date.accessioned | 2013-03-12T08:16:47Z | |
| dc.date.available | 2013-03-12T08:16:47Z | |
| dc.date.issued | 2004 | en_US |
| dc.date.submitted | 2009-11-30 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10617 | |
| dc.description.abstract | We consider the forward integral with respect to fractional Brownian motion B(H)(t) and relate this to the Wick-Itô-Skorohod integral by using the M-operator introduced by [10] and the Malliavin derivative DHt. Using this connection we obtain a new general Itôo formula for the Wick-Itô-Skorohod integrals with respect to B(H)(t), valid for $H\in (\frac{1}{2},1)$. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2004). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Forward integrals and an Itô formula for fractional Brownian motion | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-11-30 | en_US |
| dc.rights.holder | Copyright 2004 The Author(s) | |
| dc.creator.author | Biagini, Francesca | en_US |
| dc.creator.author | Øksendal, Bernt | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23670 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 97462 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10617/1/pm22-04.pdf | |