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Multiple fractional integrals
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  • Published: November 1999

Multiple fractional integrals

  • A. Dasgupta1 &
  • G. Kallianpur2 

Probability Theory and Related Fields volume 115, pages 505–525 (1999)Cite this article

  • 175 Accesses

  • 26 Citations

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Abstract.

Multiple integrals with respect to fractional Brownian motion (with H > 1/2) are constructed for a large class of functions. The first and second moments of the multiple integrals are explicitly identified.

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Authors and Affiliations

  1. Department of Statistics, University of North Carolina, Chapel Hill, NC 27599-3260, USA. e-mail: amites@email.unc.edu, , , , , , US

    A. Dasgupta

  2. Department of Statistics, University of North Carolina, Chapel Hill, , , , , , US

    G. Kallianpur

Authors
  1. A. Dasgupta
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  2. G. Kallianpur
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Received: 23 February 1998 / Revised version: 31 July 1998

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Cite this article

Dasgupta, A., Kallianpur, G. Multiple fractional integrals. Probab Theory Relat Fields 115, 505–525 (1999). https://doi.org/10.1007/s004400050247

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  • Issue Date: November 1999

  • DOI: https://doi.org/10.1007/s004400050247

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  • Mathematics Subject Classification (1991): 60G15, 60H05
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