Differentiability of fractional integrals whose kernels contain fractional brownian motions

Ukrainian Mathematical Journal

Volumn 53, Issue 1, 2001, Pages 35-47

  Krvavich, Yu V ^a   Mishura, Yu S ^a  

^a TARAS SHEVCHENKO NATIONAL UNIVERSITY OF KYIV   (Ukraine)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 10644281662     PISSN: 00415995     EISSN: 15739376     Source Type: Journal    
DOI: 10.1023/A:1010432716012     Document Type: Article

References (5)

1. M. L. Kleptsyna, A. Le Breton, and M. C. Rouland, "An elementary approach to filtering in systems with fractional Brownian observation noise," INRIA. Rapport de Recherche, No. 349 (1998).
2. S. G. Samko, A. A. Kilbas, and O. I. Marichev, Integrals and Derivatives of Fractional Order and Their Applications [in Russian], Nauka i Tekhnika, Minsk (1987).
3. I. E. Norros, E. Valkeila, and J. Virtamo, "An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions," Bernoulli, No. 6 (1999).
4. A. N. Kolmogorov and S. V. Fomin, Elements of the Theory of Functions and Functional Analysis [in Russian], Nauka, Moscow (1981).
5. I.I. Gikhman and A. V. Skorokhod, Theory of Random Processes [in Russian], Vol. 1, Nauka, Moscow (1971).