Stochastic calculus with respect to fractional Brownian motion
نویسندگان
چکیده
منابع مشابه
Stochastic calculus with respect to fractional Brownian motion
— Fractional Brownian motion (fBm) is a centered selfsimilar Gaussian process with stationary increments, which depends on a parameter H ∈ (0, 1) called the Hurst index. In this conference we will survey some recent advances in the stochastic calculus with respect to fBm. In the particular case H = 1/2, the process is an ordinary Brownian motion, but otherwise it is not a semimartingale and Itô...
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Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter H ∈ (0, 1) called the Hurst index. In this note we will survey some facts about the stochastic calculus with respect to fBm using a pathwise approach and the techniques of the Malliavin calculus. Some applications in turbulence and finance will be discussed. Math...
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ژورنال
عنوان ژورنال: Annales de la faculté des sciences de Toulouse Mathématiques
سال: 2006
ISSN: 0240-2963
DOI: 10.5802/afst.1113