Semimartingale approximation of fractional Brownian motion and its applications (Q636573)

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Semimartingale approximation of fractional Brownian motion and its applications
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    Statements

    title
    Semimartingale approximation of fractional Brownian motion and its applications (English)
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    author
    Nguyen Tien Dung
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    publication date
    28 August 2011
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    zbMATH Keywords
    fractional Brownian motion
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    stochastic integrals
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    semimartingale
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    Black-Scholes model
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    Identifiers

    Mathematics Subject Classification ID
    60H05
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    60G22
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    60G48
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    65C30
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    91G20
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    zbMATH DE Number
    5943989
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