In this paper we introduce a Stratonovich type stochastic integralwith respect to the fractional Brownian motion with Hurst parameter less than1/2. Using the techniques of the Malliavin calculus, we provide sufficientconditions for a process to be integrable. We deduce an It^o formula andwe apply these results to study stochastic differential equations driven by afractional Brownian motion with Hurst parameter less than 1/2.
No takes yet. Share an insight, caveat, or question.
Alòs et al. (2001) studied this question.
Synapse has enriched 5 related papers. Consider them for comparative context: