Biagini, Francesca
Stochastic Calculus for Fractional Brownian Motion and Applications
I. Fractional Brownian motion
1. Intrinsic properties of the fractional Brownian motion
II. Stochastic calculus
2. Wiener and divergence-type integrals for fractional Brownian motion
3. Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H >1/2
4. WickItô Skorohod (WIS) integrals for fractional Brownian motion
5. Pathwise integrals for fractional Brownian motion
6. A useful summary
III. Applications of stochastic calculus
7. Fractional Brownian motion in finance
8. Stochastic partial differential equations driven by fractional Brownian fields
9. Stochastic optimal control and applications
10. Local time for fractional Brownian motion
DRM-restrictions
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Keywords: MATHEMATICS / General MAT000000
- Author(s)
- Biagini, Francesca
- Hu, Yaozhong
- Zhang, Tusheng
- Øksendal, Bernt
- Publisher
- Springer
- Publication year
- 2008
- Language
- en
- Edition
- 1
- Category
- Natural Sciences
- Format
- Ebook
- eISBN (PDF)
- 9781846287978