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 Electronic Journal of Probability > Vol. 8 (2003) > Paper 14 open journal systems 


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.


Full text: PDF

Pages: 1-31

Published on: August 21, 2003
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Electronic Journal of Probability. ISSN: 1083-6489