Stochastic Calculus for Fractional Brownian Motion and Applications

• المؤلفون الرئيسيون: Zhang, T., Biagini, F., Hu, Y., Øksendal, B.
• التنسيق: كتاب
• اللغة: English
• منشور في: Springer 2017
• الموضوعات: Fractional Brownian motion (fBm); Applications; Stochastic Calculus; 519
• الوصول للمادة أونلاين: http://repository.vnu.edu.vn/handle/VNU_123/25958

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.