Electronic Journal of Probability

Itô Formula and Local Time for the Fractional Brownian Sheet

Ciprian Tudor and Frederi Viens

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Using the techniques of the stochastic calculus of variations for Gaussian processes, we derive an Itô formula for the fractional Brownian sheet with Hurst parameters bigger than $1/2$. As an application, we give a stochastic integral representation for the local time of the fractional Brownian sheet.

Article information

Electron. J. Probab., Volume 8 (2003), paper no. 14, 31 p.

First available in Project Euclid: 23 May 2016

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60H07: Stochastic calculus of variations and the Malliavin calculus
Secondary: 60G18: Self-similar processes 60G15: Gaussian processes 60J55: Local time and additive functionals

fractional Brownian sheet Ito formula local time Tanaka formula Malliavin calculus


Tudor, Ciprian; Viens, Frederi. Itô Formula and Local Time for the Fractional Brownian Sheet. Electron. J. Probab. 8 (2003), paper no. 14, 31 p. doi:10.1214/EJP.v8-155. https://projecteuclid.org/euclid.ejp/1464037587

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