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The book delves into fractional Brownian motion (fBm), highlighting its applications across various fields such as biology and finance. It provides a thorough exploration of stochastic calculus for fBm, detailing various definitions of stochastic integration and their interconnections. While the content assumes a background in probability theory and stochastic analysis, essential mathematical concepts are revisited in the appendices. This resource serves as a crucial reference for graduate students and researchers in multiple disciplines, including mathematics, physics, and engineering.
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Stochastic Calculus for Fractional Brownian Motion and Applications, Francesca Biagini, Yaozhong Hu, Bernt Oksendal, Tusheng Zhang
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- Année de publication
- 2008
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