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Some Applications of Fractional Brownian Motion to Linear Systems · Study

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ChapterSome Applications of Fractional Brownian Motion to Linear Systems

Tyrone E. Duncan2000

Chapter2000

Some Applications of Fractional Brownian Motion to Linear Systems

Tyrone E. Duncan

24 citations·0/0 files stored·Kluwer international series in engineering and computer science

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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 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1999Stochastic Analysis of the Fractional Brownian Motion 1997Arbitrage with Fractional Brownian Motion 2007Stochastic Differential Equations: Theory and Applications 2000Stochastic Calculus for Fractional Brownian Motion I. Theory 1996On the prediction of fractional Brownian motion

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2002Stochastic calculus for fractional Brownian motion. I. Theoryother · 7 shared references 2003OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTIONarticle · 5 shared references 2000Stochastic Calculus for Fractional Brownian Motion I. Theoryarticle · 4 shared references 2003FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCEarticle · 4 shared references 2006Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Modelschapter · 4 shared references 2008Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motionarticle · 4 shared references

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Year2000

Typechapter

Published2000-01-01

VenueKluwer international series in engineering and computer science

ISSN-L0893-3405

Languageen

Citations24

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-1-4615-5223-9_7

openalex_workW2236619135

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