Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Gaussian processes (60G15) White noise theory (60H40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Stochastic evolution equations driven by Liouville fractional Brownian motion, Wavelet-Based Estimation of Anisotropic Spatiotemporal Long-Range Dependence, Interval-valued fractional \(q\)-calculus and applications, A note on stochastic Schrödinger equations with fractional multiplicative noise, Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime, Moment computations for graphs with fractal property, Weak solutions for stochastic differential equations with additive fractional noise, Uncertain fractional differential equations on a time scale under granular differentiability concept

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