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
Pages
15
From page
301
To page
315
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
Serial Year
2001
Journal title
Stochastic Processes and their Applications
Record number
1576866
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