Title of article
Differentiation formula in Stratonovich version for fractional Brownian sheet
Author/Authors
Kim، نويسنده , , Yoon Tae and Jeon، نويسنده , , Jong Woo and Park، نويسنده , , Hyun Suk، نويسنده ,
Issue Information
دوهفته نامه با شماره پیاپی سال 2009
Pages
20
From page
106
To page
125
Abstract
We introduce two types of the Stratonovich stochastic integrals for two-parameter processes, and investigate the relationship of these Stratonovich integrals and various types of Skorohod integrals with respect to a fractional Brownian sheet. By using this relationship, we derive a differentiation formula in the Stratonovich sense for fractional Brownian sheet through Itô formula. Also the relationship between the two types of the Stratonovich integrals will be obtained and used to derive a differentiation formula in the Stratonovich sense. In this case, our proof is based on the repeated applications of differentiation formulas in the Stratonovich form for one-parameter Gaussian processes.
Keywords
Malliavin derivative , Stratonovich stochastic integral , Differentiation formula , Fractional Brownian sheet
Journal title
Journal of Mathematical Analysis and Applications
Serial Year
2009
Journal title
Journal of Mathematical Analysis and Applications
Record number
1560468
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