Please use this identifier to cite or link to this item: https://hdl.handle.net/2440/653
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dc.contributor.authorBender, C.-
dc.contributor.authorElliott, R.-
dc.date.issued2003-
dc.identifier.citationStochastics and Stochastics Reports, 2003; 75(6):391-405-
dc.identifier.issn1045-1129-
dc.identifier.urihttp://hdl.handle.net/2440/653-
dc.description.abstractIntegration with respect to a fractional Brownian motion with Hurst parameter 1/2< H <1 is related to the inner product: In this paper we provide an example, which shows that multiplication with an indicator function can increase the corresponding norm. We discuss the significance of this result for the quasi-conditional expectation and the fractional Clark-Ocone derivative introduced in Hu and Øksendal ["Fractional White Noise Calculus and Applications to Finance", IDAQPRT , 6 (2003) 1-32]. Finally, we prove a new version of the fractional Clark-Ocone formula.-
dc.description.statementofresponsibilityChristian Bender and Robert J. Elliott-
dc.language.isoen-
dc.publisherTaylor & Francis Ltd-
dc.rights© 2003 Taylor & Francis Ltd-
dc.source.urihttp://dx.doi.org/10.1080/19451120310001642613-
dc.subjectCounterexamples-
dc.subjectFractional Brownian motion-
dc.subjectFractional chaos expansion-
dc.subjectFractional Clark-Ocone formula-
dc.subjectQuasi-conditional expectation-
dc.titleOn the Clark-Ocone theorem for fractional Brownian motions with Hurst parameter bigger than half-
dc.typeJournal article-
dc.identifier.doi10.1080/19451120310001642613-
pubs.publication-statusPublished-
Appears in Collections:Applied Mathematics publications
Aurora harvest 5

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