Stochastic integration with respect to fractional Brownian motion

被引：11
|
作者：
Carmona, P [1 ]
Coutin, L [1 ]
机构：
[1] Univ Toulouse 3, Lab Stat & Probabil, F-31062 Toulouse 4, France
来源：
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 2000年 / 330卷 / 03期
关键词：
D O I：
10.1016/S0764-4442(00)00134-8
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
The purpose of this paper is to construct a stochastic integral with respect to fractional Brownian motion W-H, for every value of the Hurst index H is an element of (0, 1), as the limit of integrals with respect to semimartingales approximating W-H. We relate this construction to former integration theory (pathwise and stochastic), and in particular we give, for H > 1/4 a precise interpretation of Privault's Ito formula [12]. (C) 2000 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.
引用
收藏
页码：231 / 236
页数：6
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