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摘要
This paper is concerned with the Hu-Meyer formula for fractional Brownian motion with the Hurst parameter less than 1/2. By the mollifier approximation, the Hu-Meyer formula is explicitly obtained based on the multiple Stratonovich integral, and the proof is different from the known methods. Moreover, the obtained Hu-Meyer formula can be applied to derive the convergence rate of the multiple fractional Stratonovich integral.
- 出版日期2012
- 单位武汉大学
