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 therefore...

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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Biagini, Francesca (Author), Hu, Yaozhong (Author), Øksendal, Bernt (Author), Zhang, Tusheng (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: London : Springer London : Imprint: Springer, 2008.
Edition:1st ed. 2008.
Series:Probability and Its Applications
Subjects:
Probabilities.
Statistics .
Mathematics.
Probability Theory.
Statistics in Business, Management, Economics, Finance, Insurance.
Applications of Mathematics.
Online Access:Texto Completo
Table of Contents:
  • Fractional Brownian motion
  • Intrinsic properties of the fractional Brownian motion
  • Stochastic calculus
  • Wiener and divergence-type integrals for fractional Brownian motion
  • Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H >1/2
  • WickItô Skorohod (WIS) integrals for fractional Brownian motion
  • Pathwise integrals for fractional Brownian motion
  • A useful summary
  • Applications of stochastic calculus
  • Fractional Brownian motion in finance
  • Stochastic partial differential equations driven by fractional Brownian fields
  • Stochastic optimal control and applications
  • Local time for fractional Brownian motion.

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