Stochastic Calculus for Fractional Brownian Motion I. Theory
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چکیده
منابع مشابه
Stochastic Calculus for Fractional Brownian Motion I. Theory
This paper describes some of the results in [5] for a stochastic calculus for a fractional Brownian motion with the Hurst parameter in the interval (1/2, 1). Two stochastic integrals are defined with explicit expressions for their first two moments. Multiple and iterated integrals of a fractional Browinian motion are defined and various properties of these integrals are given. A square integrab...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2000
ISSN: 0363-0129,1095-7138
DOI: 10.1137/s036301299834171x