کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4620105 1339454 2009 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Differentiation formula in Stratonovich version for fractional Brownian sheet
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز ریاضی
پیش نمایش صفحه اول مقاله
Differentiation formula in Stratonovich version for fractional Brownian sheet
چکیده انگلیسی

We introduce two types of the Stratonovich stochastic integrals for two-parameter processes, and investigate the relationship of these Stratonovich integrals and various types of Skorohod integrals with respect to a fractional Brownian sheet. By using this relationship, we derive a differentiation formula in the Stratonovich sense for fractional Brownian sheet through Itô formula. Also the relationship between the two types of the Stratonovich integrals will be obtained and used to derive a differentiation formula in the Stratonovich sense. In this case, our proof is based on the repeated applications of differentiation formulas in the Stratonovich form for one-parameter Gaussian processes.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Mathematical Analysis and Applications - Volume 359, Issue 1, 1 November 2009, Pages 106-125