$Multiple fractional integrals$

Multiple fractional integrals

Multiple integrals with respect to fractional Brownian motion (with H > 1/2) are constructed for a large class of functions. The first and second moments of the multiple integrals are explicitly identified.

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Bibliographische Detailangaben
Veröffentlicht in:	Probability theory and related fields 1999-11, Vol.115 (4), p.505-525
Hauptverfasser:	DASGUPTA, A, KALLIANPUR, G
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Exact sciences and technology Fractional calculus Integrals Mathematics Probability Probability and statistics Probability theory and stochastic processes Sciences and techniques of general use Stochastic analysis Stochastic processes
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Beschreibung
Zusammenfassung:	Multiple integrals with respect to fractional Brownian motion (with H > 1/2) are constructed for a large class of functions. The first and second moments of the multiple integrals are explicitly identified.
ISSN:	0178-8051 1432-2064
DOI:	10.1007/s004400050247