Multidimensional bifractional Brownian motion: Ito and Tanaka formulas
classification
🧮 math.PR
keywords
bifractionalbrownianformulasmotiontanakacalculusderivedimensional
read the original abstract
Using the Malliavin calculus with respect to Gaussian processes and the multiple stochastic integrals we derive It\^{o}'s and Tanaka's formulas for the $d$-dimensional bifractional Brownian motion.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.