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Stochastic integration with respect to the sub-fractional Brownian motion with. (English) Zbl 1239.60041
Summary: We define a stochastic integral with respect to sub-fractional Brownian motion S H with index H(0,1 2) that extends the divergence integral from Malliavin calculus. For this extended divergence integral, we establish versions of the formulas of Itô and Tanaka that hold for all H(0,1 2).
MSC:
60H05Stochastic integrals
60G15Gaussian processes
60H07Stochastic calculus of variations and the Malliavin calculus
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