Abstract
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.
Citation
Ciprian Tudor. Frederi Viens. "Itô Formula and Local Time for the Fractional Brownian Sheet." Electron. J. Probab. 8 1 - 31, 2003. https://doi.org/10.1214/EJP.v8-155
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