Stratonovich Calculus with Respect to Fractional Brownian Sheet

被引：4
|
作者：
Kim, Yoon Tae [2 ]
Park, Hyun Suk [1 ]
机构：
[1] Pohang Univ Sci & Technol, Pohang Math Inst, Pohang 790784, South Korea
[2] Hallym Univ, Dept Stat, Chunchon, Kangwon Do, South Korea
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2009年 / 27卷 / 05期
关键词：
Fractional Brownian sheet; Ito formula; Malliavin calculus; Skorohod integrals; Stratonovich stochastic integrals;
D O I：
10.1080/07362990903136462
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We introduce two types of Stratonovich stochastic integrals for two-parameter process. The relationship of Stratonovich integrals to Skorohod integrals will be investigated. By using this relationship, we prove that a differentiation formula for fractional Brownian sheet in Stratonovich form can be expressed as the sum of Stratonovich integrals of two types introduced in this article.
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页码：962 / 983
页数：22
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