Stochastic calculus for fractional Brownian motion and related processes.
From MaRDI portal
Publication:2463941
DOI10.1007/978-3-540-75873-0zbMath1138.60006MaRDI QIDQ2463941
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
Gaussian process; white noise; Black-Scholes model; stochastic integration; Girsanov's theorem; Fractional Brownian motion; Itô's formula; hypotheses testing; filtering problem
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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