A stochastic calculus for Rosenblatt processes
نویسندگان
چکیده
A stochastic calculus is given for processes described by integrals with respect to fractional Brownian motions and Rosenblatt somewhat analogous the Itô processes. These this arise naturally from a chain rule functionals of processes; some Itô-type expressions are here. Furthermore, there analysis these results their applications problems using noise.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2022
ISSN: ['1879-209X', '0304-4149']
DOI: https://doi.org/10.1016/j.spa.2020.01.004