Fractional Ito calculus
We derive Itô–type change of variable formulas for smooth functionals of irregular paths with nonzero pth variation along a sequence of partitions, where p ≥ 1 is arbitrary, in terms of fractional derivative operators. Our results extend the results of the Föllmer–Itô calculus to the general case of...
| প্রধান লেখক: | , |
|---|---|
| বিন্যাস: | Journal article |
| ভাষা: | English |
| প্রকাশিত: |
American Mathematical Society
2024
|