Multidimensional bifractional Brownian motion: Ito and Tanaka formulas

Details Multidimensional bifractional Brownian motion: Ito and Tanaka formulas Multidimensional bifractional Brownian motion: Ito and Tanaka formulas

2007-03-03

arxiv.org/abs/math/0703087v1

Mathematics

Probability

Scientific paper

Using the Malliavin calculus with respect to Gaussian processes and the
multiple stochastic integrals we derive It\^{o}'s and Tanaka's formulas for the
$d$-dimensional bifractional Brownian motion.

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