Abstract
In this paper we introduce a Stratonovich type stochastic integralwith respect to the fractional Brownian motion with Hurst parameter less than1/2. Using the techniques of the Malliavin calculus, we provide sufficientconditions for a process to be integrable. We deduce an It^o formula andwe apply these results to study stochastic differential equations driven by afractional Brownian motion with Hurst parameter less than 1/2.
Citation
E. Alos. J. A. Leon. D. Nualart. "STOCHASTIC STRATONOVICH CALCULUS fBm FOR FRACTIONAL BROWNIAN MOTION WITH HURST PARAMETER LESS THAN 1/2." Taiwanese J. Math. 5 (3) 609 - 632, 2001. https://doi.org/10.11650/twjm/1500574954
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