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It��'s formula for linear fractional PDEs
- Publication Year :
- 2006
- Publisher :
- arXiv, 2006.
-
Abstract
- In this paper we introduce a stochastic integral with respect to the solution X of the fractional heat equation on [0,1], interpreted as a divergence operator. This allows to use the techniques of the Malliavin calculus in order to establish an It��-type formula for the process X.<br />23 p
- Subjects :
- Probability (math.PR)
FOS: Mathematics
60H15, 60H07, 60G15
Subjects
Details
- Database :
- OpenAIRE
- Accession number :
- edsair.doi...........d1c6a39882357da40857d1b602cebadc
- Full Text :
- https://doi.org/10.48550/arxiv.math/0610753