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Ito Formula and Local Time for the Fractional Brownian Sheet


 
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1. Title Title of document Ito Formula and Local Time for the Fractional Brownian Sheet
 
2. Creator Author's name, affiliation, country Ciprian A. Tudor; Laboratoire de Probabilit'{e}s, Universit'{e} de Paris 6
 
2. Creator Author's name, affiliation, country Frederi G. Viens; Purdue University
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) fractional Brownian sheet, Ito formula, local time, Tanaka formula, Malliavin calculus.
 
3. Subject Subject classification primary 60H07; secondary 60G18; 60G15; 60J55.
 
4. Description Abstract Using the techniques of the stochastic calculus of variations for Gaussian processes, we derive an It^{o} formula for the fractional Brownian sheet with Hurst parameters bigger than $1/2$. As an application, we give a stochastic integral representation for the local time of the fractional Brownian sheet.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2003-08-21
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/155
 
10. Identifier Digital Object Identifier 10.1214/EJP.v8-155
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 8
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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