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An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion · Study

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ChapterAn Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion

Laure Coutin2007

Chapter2007

An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion

65 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Fractional Differential Equations Solutions Fuzzy Systems and Optimization

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 2006The Malliavin Calculus and Related Topics 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics 1998Differential equations driven by rough signals 1989Theory of Martingales 1999Stochastic Analysis of the Fractional Brownian Motion

Cited by

2010Controlled differential equations as Young integrals: A simple approach 2017Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility 2019Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity 2019Pathwise integration and change of variable formulas for continuous paths with arbitrary regularity 2010Local time and Tanaka formula for a Volterra-type multifractional Gaussian process

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2009Stochastic calculus with respect to fractional Brownian motionarticle · 15 shared references 2007Fractional Brownian motion: stochastic calculus and applicationschapter · 13 shared references 2009Stochastic calculus for fractional Brownian motion with Hurst exponent H>¼: A rough path method by analytic extensionarticle · 13 shared references 2008A simple theory for the study of SDEs driven by a fractional Brownian motion, in dimension onechapter · 13 shared references 2005Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter H∈(0,12)article · 12 shared references 2003Generalized covariations, local time and Stratonovich Itô's formula for fractional Brownian motion with Hurst index ${H \ge \frac{1}{4}}$article · 12 shared references

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Year2007

Typechapter

Published2007-07-24

VenueSpringer eBooks

Languageen

Citations65

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-71189-6_1

openalex_workW165622181

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