A note on the differentiation formula in Stratonovich type for fractional Brownian sheet

We consider a new proof on the differentiation formula in Stratonovich type for fractional Brownian sheet. Our proof is based on the repeated applications of differentiation formulas in Stratonovich form for a one-parameter Gaussian process.

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Bibliographic Details
Published in:Journal of the Korean Statistical Society 2009, 38(3), , pp.259-265
Main Author: Kim, Yoon Tae
Format: Article
Language:English
Subjects:
Applied Statistics
Bayesian Inference
Differentiation formulas
Fractional Brownian sheet
Malliavin derivative
Skorohod integrals
Statistical Theory and Methods
Statistics
Statistics and Computing/Statistics Programs
Stratonovich stochastic integral
통계학
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Description
Summary:We consider a new proof on the differentiation formula in Stratonovich type for fractional Brownian sheet. Our proof is based on the repeated applications of differentiation formulas in Stratonovich form for a one-parameter Gaussian process.
ISSN:1226-3192
2005-2863
DOI:10.1016/j.jkss.2008.11.005