Some topics in fractional Brownian motion

DOI10.3233/RDA-2009-0013zbMath1196.60067MaRDI QIDQ3639751

Tyrone E. Duncan

Publication date: 26 October 2009

Published in: Risk and Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/rda-2009-0013

zbMATH Keywords

fractional Brownian motion; stochastic differential equations; Gaussian noise; stochastic integral

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

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

60H05: Stochastic integrals