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An Isometric Approach to Generalized Stochastic Integrals

Author

Listed:
  • Yulia Mishura

    (Kiev University)

  • Esko Valkeila

    (University of Helsinki)

Abstract

The possibility to extend the classical Ito's construction of stochastic integrals is studied. This construction can be applied to fractional Brownian motions with Hurst index H∈(0, 1/2). A change of variables formula for fractional Brownian motions in terms of the stochastic integrals is given.

Suggested Citation

  • Yulia Mishura & Esko Valkeila, 2000. "An Isometric Approach to Generalized Stochastic Integrals," Journal of Theoretical Probability, Springer, vol. 13(3), pages 673-693, July.
    • Handle: RePEc:spr:jotpro:v:13:y:2000:i:3:d:10.1023_a:1007854310936
    DOI: 10.1023/A:1007854310936
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    References listed on IDEAS

    as
    1. Novikov, Alexander & Valkeila, Esko, 1999. "On some maximal inequalities for fractional Brownian motions," Statistics & Probability Letters, Elsevier, vol. 44(1), pages 47-54, August.
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