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FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION

Department of Mathematics, University of Bologna, Piazza di Porta S. Donato, 5, I-40127 Bologna, Italy

and

Center of Mathematics for Applications (CMA), Department of Mathematics, University of Oslo, Box 1053 Blindern, N-0316 Oslo, Norway

Norwegian School of Economics and Business Administration, Helleveien 30, N-5045 Bergen, Norway

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https://doi.org/10.1142/S0219025708003105Cited by:5 (Source: Crossref)

Abstract

We consider the forward integral with respect to fractional Brownian motion B^(H)(t) and relate this to the Wick–Itô–Skorohod integral by using the M-operator introduced by Ref. 10 and the Malliavin derivative . Using this connection we obtain a general Itô formula for the Wick–Itô–Skorohod integralswith respect to B^(H)(t), valid for .

Keywords:

AMSC: 60G15, 60G18, 60HXX, 60H07, 60H40

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