Ito Formula and Local Time for the Fractional Brownian Sheet
Ciprian A. Tudor, Laboratoire de Probabilit'{e}s, Universit'{e} de Paris 6
Frederi G. Viens, Purdue University
Abstract
Using the techniques of the stochastic calculus of variations for Gaussian
processes, we derive an It^{o} 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.
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