Itô's formula for linear fractional PDEs
نویسندگان
چکیده
منابع مشابه
Itô’s formula for linear fractional PDEs
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 Itô-type formula for the process X.
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ژورنال
عنوان ژورنال: Stochastics
سال: 2008
ISSN: 1744-2508,1744-2516
DOI: 10.1080/17442500701661687