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A note on Ito formula for fractional Brownian sheet with Hurst parameters H(1), H(2) is an element of (0,1)
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| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Kim, Yoon Tae | - |
| dc.contributor.author | Rhee, Joonhee | - |
| dc.date.available | 2018-05-10T15:55:36Z | - |
| dc.date.created | 2018-04-17 | - |
| dc.date.issued | 2008-12 | - |
| dc.identifier.issn | 1226-3192 | - |
| dc.identifier.uri | http://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/16757 | - |
| dc.description.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. | - |
| dc.publisher | KOREAN STATISTICAL SOC | - |
| dc.relation.isPartOf | JOURNAL OF THE KOREAN STATISTICAL SOCIETY | - |
| dc.subject | WHITE-NOISE THEORY | - |
| dc.title | A note on Ito formula for fractional Brownian sheet with Hurst parameters H(1), H(2) is an element of (0,1) | - |
| dc.type | Article | - |
| dc.identifier.doi | 10.1016/j.jkss.2008.02.005 | - |
| dc.type.rims | ART | - |
| dc.identifier.bibliographicCitation | JOURNAL OF THE KOREAN STATISTICAL SOCIETY, v.37, no.4, pp.349 - 354 | - |
| dc.identifier.kciid | ART001303043 | - |
| dc.description.journalClass | 1 | - |
| dc.identifier.wosid | 000261584900008 | - |
| dc.identifier.scopusid | 2-s2.0-54049130038 | - |
| dc.citation.endPage | 354 | - |
| dc.citation.number | 4 | - |
| dc.citation.startPage | 349 | - |
| dc.citation.title | JOURNAL OF THE KOREAN STATISTICAL SOCIETY | - |
| dc.citation.volume | 37 | - |
| dc.contributor.affiliatedAuthor | Rhee, Joonhee | - |
| dc.type.docType | Article | - |
| dc.subject.keywordAuthor | Fractional Brownian sheet | - |
| dc.subject.keywordAuthor | Ito formula | - |
| dc.subject.keywordAuthor | Fractional white noise | - |
| dc.subject.keywordPlus | WHITE-NOISE THEORY | - |
| dc.description.journalRegisteredClass | scopus | - |
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Related Researcher
- Rhee, Joon Hee
- College of Business Administration (School of Business Administration)