Stochastic Calculus for Fractional Brownian Motion I. Theory
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Publication:4943736
DOI10.1137/S036301299834171XzbMath0947.60061MaRDI QIDQ4943736
Tyrone E. Duncan, Yaozhong Hu, Bozenna Pasik-Duncan
Publication date: 19 March 2000
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
fractional Brownian motionItô integralWick productstochastic calculusItô formulaStratonovich integralmultiple Stratonovich integralsItô calculusmultiple Itô integrals
Gaussian processes (60G15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)
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