The Itô formula for fractional Brownian fields
Анотація
We prove the existence of the stochastic integral of the second kind constructed with respect to Hölder fields, in particular, with respect to fractional Brownian fields, and derive the Itô formula for a linear combination of fractional Brownian fields with different Hurst indices $H_i\in (\frac {1}{2},1)$, $i=1,2$.
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