Stochastic calculus for fractional Brownian motion and related processes.

DOI10.1007/978-3-540-75873-0zbMath1138.60006MaRDI QIDQ2463941

Yuliya S. Mishura

Publication date: 6 December 2007

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-75873-0

zbMATH Keywords

Gaussian process; white noise; Black-Scholes model; stochastic integration; Girsanov's theorem; Fractional Brownian motion; Itô's formula; hypotheses testing; filtering problem

Mathematics Subject Classification ID

60G60: Random fields

60G15: Gaussian processes

62F03: Parametric hypothesis testing

60F05: Central limit and other weak theorems

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B70: Stochastic models in economics

60G35: Signal detection and filtering (aspects of stochastic processes)

60G44: Martingales with continuous parameter

60H40: White noise theory

60H05: Stochastic integrals

60-02: Research exposition (monographs, survey articles) pertaining to probability theory

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