912761
abstract
Duncan, T.E.
Hu, Y.Z.
Pasik-Duncan, B.
Dept. of Math., Kansas Univ., Lawrence, KS
This paper appears in: Decision and Control, 2000. Proceedings of the 39th IEEE Conference on
Issue Date: 2000
Volume: 1
On page(s):
212
- 216 vol.1
Location: Sydney, NSW
ISSN: 0191-2216
Print ISBN: 0-7803-6638-7
INSPEC Accession Number: 6939764
Digital Object Identifier: 10.1109/CDC.2000.912761
Date of Current Version:
06 August 2002
Abstract
Describes some of the results in Duncan et al. (2000) for a
stochastic calculus for a fractional Brownian motion with the Hurst
parameter in the interval (1/2, 1). Two stochastic integrals are defined
with explicit expressions for their first two moments. Multiple and
iterated integrals of a fractional Brownian motion are defined and
various properties of these integrals are given. A square integrable
functional on a probability space of a fractional Brownian motion is
expressed as an infinite series of multiple integrals
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