Stochastic Calculus for Fractional Brownian Motion and Applications W. Vogel & M. Büttner GmbH DIE ERDE ALS PHYSIKALISCHER KÖRPER

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Stochastic Calculus for Fractional Brownian Motion and Applications W. Vogel & M. Büttner GmbH DIE ERDE ALS PHYSIKALISCHER KÖRPERFractional 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. Several approaches have been used to develop the concept of stochastic calculus for fBm. The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of