Bardina, Xavier; Tudor, Ciprian A. The law of a stochastic integral with two independent fractional Brownian motions. (English) Zbl 1173.60324 Bol. Soc. Mat. Mex., III. Ser. 13, No. 1, 231-242 (2007). Summary: Using the tools of the stochastic integration with respect to the fractional Brownian motion, we obtain the expression of the characteristic function of the random variable \(\int_{0}^{1}B^{\alpha }_{s}dB^{H}_{s}\) where \(B^{\alpha }\) and \(B^{H}\) are two independent fractional Brownian motions with Hurst parameters \(\alpha\in(0,1) \) and \(H>\frac12\) respectively. The two-parameter case is also considered. Cited in 1 Document MSC: 60H05 Stochastic integrals Keywords:duality; convergence group; nuclear topological group; direct limit; inverse limit PDFBibTeX XMLCite \textit{X. Bardina} and \textit{C. A. Tudor}, Bol. Soc. Mat. Mex., III. Ser. 13, No. 1, 231--242 (2007; Zbl 1173.60324)