Shen, Guangjun; Chen, Chao - In: Statistics & Probability Letters 82 (2012) 2, pp. 240-251
We define a stochastic integral with respect to sub-fractional Brownian motion SH with index H∈(0,12) that extends the divergence integral from Malliavin calculus. For this extended divergence integral, we establish versions of the formulas of Itô and Tanaka that hold for all H∈(0,12).
