Multiple fractional integrals

Probability Theory and Related Fields

Volumn 115, Issue 4, 1999, Pages 505-525

  Dasgupta, A ^a   Kallianpur, G ^a  

^a University of North Carolina at Chapel Hill   (United States)

Author keywords

Fractional Brownian motion; Multiple stochastic integrals

Indexed keywords

EID: 0033260720     PISSN: 01788051     EISSN: None     Source Type: Journal    
DOI: 10.1007/s004400050247     Document Type: Article

References (11)

1. Barton, R.J., Vincent Poor, H.: Signal detection in fractional Gaussian noise. IEEE Trans. Information Theory 34, 943-959 (1988)
2. Dasgupta, A.: Fractional Brownian motion: its properties and applications to stochastic integration. Ph.D. Thesis, Department of Statistics, University of North Carolina at Chapel Hill (1997)
3. Engel, D.D.: The multiple stochastic integral, Memoirs Amer. Math. Soc., 38, (265), (1982)
4. Huang, S.T., Cambanis, S.: Stochastic and multiple Wiener integrals for Gaussian processes. Ann. Probability 6, 585-614 (1978)
5. Ito, K.: Multiple Wiener integral. J. Math. Soc. Japan. 3, 157-169 (1951)
6. Jain, N.C., Kallianpur, G.: A note on uniform convergence of stochastic processes, Ann. Math. Stat. 41, 1360-1362 (1970)
7. Johnson, G.W., Kallianpur, G.: Homogeneous chaos, p-forms, scaling and the Feynman integral. Trans. Amer. Math. Soc. 340, 503-548 (1993)
8. Kallianpur, G.: Stochastic Filtering Theory. Springer Verlag, Berlin (1980)
9. Rogers, L.C.G.: Arbitrage with fractional Brownian motion. Mathematical Finance, 7, 95-105 (1997)
10. Royden, H.L.: Real Analysis. Pp 92, Macmillan, New York (1988)
11. Samorodnitsky, G., Taqqu, M.S.: Stable Non-Gaussian Random Processes. Chapman and Hall, New York (1994)