Author： Alòs Elisa
Publisher： Taylor & Francis Ltd
ISSN： 1045-1129
Source： Stochastics and Stochastics Reports, Vol.75, Iss.3, 2003-01, pp. : 129-152
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Abstract
We develop a stochastic calculus for the fractional Brownian motion with Hurst parameter H>1/2 using the techniques of the Malliavin calculus. We establish estimates in Lp, maximal inequalities and a continuity criterion for the stochastic integral. Finally, we derive an Itô's formula for integral processes.
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