한국통계학회:학술대회논문집 (Proceedings of the Korean Statistical Society Conference)

한국통계학회 (The Korean Statistical Society)
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An It${\hat{o}}$ formula for generalized functionals for fractional Brownian sheet with arbitrary Hurst parameter

  • 발행 : 2005.05.20
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초록

We derive an It${\hat{o}}$ formula for generalized functionals for the fractional Brownian sheet with arbitrary Hurst parameter ${H_1},\;H_2$ ${\epsilon}$ (0,1). As an application, we consider a stochastic integral representation for the local time of the fractional Brownian sheet.

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