Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market
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Publication:3611813
DOI10.1080/07362990802565084zbMath1158.60364OpenAlexW1975457217MaRDI QIDQ3611813
Wilfried Grecksch, V. V. Anh, Christian J. Roth
Publication date: 3 March 2009
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990802565084
quasi-conditional expectationGirsanov's formulafractional white noise calculus\(Q\)-fractional Brownian motion in infinite dimensions\(Q\)-fractional hida spacesClark-Haussmann-Ocone theoreminfinite-dimensional Black-Scholes market
Gaussian processes (60G15) White noise theory (60H40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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