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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Bibliographic Details
Main Authors: Zhang, T., Biagini, F., Hu, Y., Øksendal, B.
Format: Book
Language:English
Published: Springer 2017
Subjects:
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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