Multidimensional bifractional Brownian motion: Ito and Tanaka formulas

2007/03/03 by Ciprian A. Tudor, Tudor, Ciprian, Khalifa Es-Sebaiy +1
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling

paper · doi:10.48550/arxiv.math/0703087

Abstract

Using the Malliavin calculus with respect to Gaussian processes and the multiple stochastic integrals we derive Itô's and Tanaka's formulas for the d-dimensional bifractional Brownian motion.

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