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

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

  • Published : 2005.05.20
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Abstract

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.

Keywords