Multidimensional bifractional Brownian motion: Ito and Tanaka formulas
Probability
2007-05-23 v1
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 -dimensional bifractional Brownian motion.
Keywords
Cite
@article{arxiv.math/0703087,
title = {Multidimensional bifractional Brownian motion: Ito and Tanaka formulas},
author = {Ciprian Tudor and Khalifa Es-Sebaiy},
journal= {arXiv preprint arXiv:math/0703087},
year = {2007}
}