Stochastic Calculus for Fractional Brownian Motion and Applications

Stochastic Calculus for Fractional Brownian Motion and Applications

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 therefo...

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Main Authors: Zhang, T., Biagini, F., Hu, Y., Øksendal, B.
Format: Book
Language:English
Published: Springer 2017
Subjects:
Fractional Brownian motion (fBm)
Applications
Stochastic Calculus
519
Online Access:http://repository.vnu.edu.vn/handle/VNU_123/25958
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Institution: Vietnam National University, Hanoi
Language: English
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spelling oai:112.137.131.14:VNU_123-259582020-07-16T02:26:56Z Stochastic Calculus for Fractional Brownian Motion and Applications Zhang, T. Biagini, F. Hu, Y. Øksendal, B. Fractional Brownian motion (fBm) Applications Stochastic Calculus 519 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 it is natural to ask if a stochastic calculus for fBm can be developed. This is not obvious, since fBm is neither a semimartingale (except when H = ½), nor a Markov process so the classical mathematical machineries for stochastic calculus are not available in the fBm case. 2017-04-11T02:32:38Z 2017-04-11T02:32:38Z 2008 Book 978-1-85233-996-8 http://repository.vnu.edu.vn/handle/VNU_123/25958 en 331 p. application/pdf Springer
institution Vietnam National University, Hanoi
building VNU Library & Information Center
country Vietnam
collection VNU Digital Repository
language English
topic Fractional Brownian motion (fBm)
Applications
Stochastic Calculus
519
spellingShingle Fractional Brownian motion (fBm)
Applications
Stochastic Calculus
519
Zhang, T.
Biagini, F.
Hu, Y.
Øksendal, B.
Stochastic Calculus for Fractional Brownian Motion and Applications
description 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 it is natural to ask if a stochastic calculus for fBm can be developed. This is not obvious, since fBm is neither a semimartingale (except when H = ½), nor a Markov process so the classical mathematical machineries for stochastic calculus are not available in the fBm case.
format Book
author Zhang, T.
Biagini, F.
Hu, Y.
Øksendal, B.
author_facet Zhang, T.
Biagini, F.
Hu, Y.
Øksendal, B.
author_sort Zhang, T.
title Stochastic Calculus for Fractional Brownian Motion and Applications
title_short Stochastic Calculus for Fractional Brownian Motion and Applications
title_full Stochastic Calculus for Fractional Brownian Motion and Applications
title_fullStr Stochastic Calculus for Fractional Brownian Motion and Applications
title_full_unstemmed Stochastic Calculus for Fractional Brownian Motion and Applications
title_sort stochastic calculus for fractional brownian motion and applications
publisher Springer
publishDate 2017
url http://repository.vnu.edu.vn/handle/VNU_123/25958
_version_ 1680964855487528960

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