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.
Author information
Authors and Affiliations
Additional information
Received: 23 February 1998 / Revised version: 31 July 1998
Rights and permissions
About this article
Cite this article
Dasgupta, A., Kallianpur, G. Multiple fractional integrals. Probab Theory Relat Fields 115, 505–525 (1999). https://doi.org/10.1007/s004400050247
Issue Date:
DOI: https://doi.org/10.1007/s004400050247
- Mathematics Subject Classification (1991): 60G15, 60H05