Stochastic calculus for fractional Brownian motion and related processes
Author(s)
Bibliographic Information
Stochastic calculus for fractional Brownian motion and related processes
（Lecture notes in mathematics, 1929）
Springer, c2008
Available at / 61 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
L/N||LNM||1929200003619680
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Note
Includes bibliographical references (p. [369]-389) and index
Description and Table of Contents
Description
This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.
Table of Contents
Wiener Integration with Respect to Fractional Brownian Motion.- Stochastic Integration with Respect to fBm and Related Topics.- Stochastic Differential Equations Involving Fractional Brownian Motion.- Filtering in Systems with Fractional Brownian Noise.- Financial Applications of Fractional Brownian Motion.- Statistical Inference with Fractional Brownian Motion.
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