Title of article :
Tanaka formula for the fractional Brownian motion
Author/Authors :
Coutin، نويسنده , , Laure and Nualart، نويسنده , , David and Tudor، نويسنده , , Ciprian A. Tudor، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2001
Abstract :
In this paper we find the Wiener chaos expansion for the local time of the fractional Brownian motion with Hurst parameter H and we derive a Tanaka formula in the case H>13. As an application we deduce an Itôʹs formula for convex functions.
Keywords :
Fractional Brownian motion , Tanaka formula , Local time
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications
