Stochastic Calculus for Fractional Brownian Motion and Applications

• Main Authors: Biagini, Francesca (Author), Hu, Yaozhong (Author), Øksendal, Bernt (Author), Zhang, Tusheng (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: London : Springer London, 2008.
• Series: Probability and Its Applications,
• Subjects: Mathematics.; Applied mathematics.; Engineering mathematics.; Probabilities.; Statistics.; Probability Theory and Stochastic Processes.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Applications of Mathematics.

Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes fBm an interesting object of study. fBm represents a natural one-parameter extension of classical Brownian motion therefore...