Detailed Information
Cited 0 time in 
Cited 2 time in 
Cited 2 time in
Metadata Downloads
A note on Ito formula for fractional Brownian sheet with Hurst parameters H(1), H(2) is an element of (0,1)
- Authors
- Kim, Yoon Tae; Rhee, Joonhee
- Issue Date
- Dec-2008
- Publisher
- KOREAN STATISTICAL SOC
- Keywords
- Fractional Brownian sheet; Ito formula; Fractional white noise
- Citation
- JOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.37, no.4, pp.349 - 354
- Journal Title
- JOURNAL OF THE KOREAN STATISTICAL SOCIETY
- Volume
- 37
- Number
- 4
- Start Page
- 349
- End Page
- 354
- ISSN
- 1226-3192
- Abstract
- By using the white noise theory for fractional Brownian sheet, we give a new proof of the Ito formula for fractional Brownian sheet with arbitrary Hurst parameters H(1), H(2) is an element of (0, 1). Our proof is based on the repeated application of the Ito formulas for one-parameter Gaussian process. (C) 2008 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.
- Files in This Item
- There are no files associated with this item.
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
Related Researcher
- Rhee, Joon Hee
- College of Business Administration (School of Business Administration)