• 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