An isometric approach to generalized stochastic integrals. (English) Zbl 0965.60054
Authors’ abstract: A possibility to extend the classical Itô’s construction of the stochastic integral is studied. This extension can be applied to a fractional Brownian motion with the Hurst index \(H\in (0,1/2)\). A change of variables formula for a fractional Brownian motion in terms of the stochastic integral is given.
Reviewer: Rimas Norvaiša (Vilnius)
MSC:
60H05 | Stochastic integrals |