Stochastic Calculus for Fractional Brownian Motion and Applications

Biagini, Francesca ; Hu, Yaozhong; Øksendal, Bernt and Zhang, Tusheng (2008): Stochastic Calculus for Fractional Brownian Motion and Applications. London: Springer.

Abstract

The first book to compare the different frameworks and methods of stochastic integration for fBm. It also discusses the applications of the resulting theory. Written by leading contributors to the field.

• Item Type: Monograph
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISBN: 978-1-85233-996-8 ; 978-1-84996-994-9
• ISSN: 1431-7028
• Place of Publication: London
• Language: English