Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Itô formula and local time for the fractional Brownian sheet

Auteur(s):

Code(s) de Classification MSC:

Résumé: Using the techniques of the stochastic calculus of variations for Gaussian processes, we derive an Itô formula for the fractional Brownian sheet with Hurst parameters bigger than $1/2$. As an application, we give a stochastic integral representation for the local time of the fractional Brownian sheet.

Mots Clés: fractional Brownian sheet ; Itô formula ; Tanaka formula ; Malliavin calculus

Date: 2003-09-16

Prépublication numéro: PMA-843