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Multidimensional bifractional Brownian motion: Ito and Tanaka formulas

Ciprian Tudor·Khalifa Es-Sebaiy
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Abstract

Using the Malliavin calculus with respect to Gaussian processes and the multiple stochastic integrals we derive Itô's and Tanaka's formulas for the $d$-dimensional bifractional Brownian motion.

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Ciprian Tudor, Khalifa Es-Sebaiy. 2007-03-03. Multidimensional bifractional Brownian motion: Ito and Tanaka formulas. https://arxiv.org/abs/math/0703087

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