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Clark-Ocone Formula for Fractional Brownian Motion with Hurst Parameter Less Than 1/2.
- Source :
- Stochastic Analysis & Applications; Mar2006, Vol. 24 Issue 2, p427-449, 23p
- Publication Year :
- 2006
-
Abstract
- In this paper we combine the techniques of the Malliavin and the fractional calculus to establish a Clark-Ocone integral representation for fractional Brownian motion with Hurst parameter . The uniqueness of this adapted representation is proved. [ABSTRACT FROM AUTHOR]
- Subjects :
- CALCULUS
FRACTIONAL calculus
BROWNIAN bridges (Mathematics)
EQUATIONS
MATHEMATICS
Subjects
Details
- Language :
- English
- ISSN :
- 07362994
- Volume :
- 24
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Stochastic Analysis & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 19777890
- Full Text :
- https://doi.org/10.1080/07362990500522460