It\^{o}'s formula for linear fractional PDEs
Probability
2007-06-13 v1
Abstract
In this paper we introduce a stochastic integral with respect to the solution X of the fractional heat equation on [0,1], interpreted as a divergence operator. This allows to use the techniques of the Malliavin calculus in order to establish an It\^{o}-type formula for the process X.
Keywords
Cite
@article{arxiv.math/0610753,
title = {It\^{o}'s formula for linear fractional PDEs},
author = {Jorge A. Leon and Samy Tindel},
journal= {arXiv preprint arXiv:math/0610753},
year = {2007}
}
Comments
23 p