Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with hurst index H ≥ 1/4

Annals of Probability

Volumn 31, Issue 4, 2003, Pages 1772-1820

  Gradinaru, Mihai ^a   Russo, Francesco ^b   Valloism, Pierre ^a  

^a UNIVERSITÉ HENRI POINCARÉ NANCY 1   (France)

^b UNIVERSITÉ PARIS 13   (France)

Author keywords

Fourth variation; Fractional Brownian motion; Ito's formula; Local time

Indexed keywords

EID: 0346332490     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1068646366     Document Type: Article

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