Some topics in fractional Brownian motion

DOI10.3233/RDA-2009-0013zbMATH Open1196.60067OpenAlexW1540042060MaRDI QIDQ3639751FDOQ3639751

Authors: T. 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

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zbMATH Keywords

fractional Brownian motionstochastic differential equationsGaussian noisestochastic integral

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cited In (8)

• Title not available (Why is that?)
• Type I and type II fractional Brownian motions: a reconsideration
• Fractional Brownian motion: theory and applications
• Fractional Brownian motion: stochastic calculus and applications
• On some generalization of fractional Brownian motions
• Title not available (Why is that?)
• Title not available (Why is that?)
• Towards a better understanding of fractional Brownian motion and its application to finance

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