Itô's formula with respect to fractional Brownian motion and its application

DOI10.1155/S104895339600038XzbMATH Open0867.60029MaRDI QIDQ675254FDOQ675254

Juan-Miguel Gracia

Publication date: 20 July 1997

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/47673

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zbMATH Keywords

fractional Brownian motionstochastic differential equationsBlack-Scholes modellong range dependenceItô's formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)

Cited In (72)

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• FRACTIONAL BROWNIAN MOTION AND STOCHASTIC EQUATIONS IN HILBERT SPACES
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• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Solutions to BSDEs driven by both standard and fractional Brownian motions
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• A stochastic maximum principle for general controlled systems driven by fractional Brownian motions
• The fractional and mixed-fractional CEV model
• Optimality of non-instantaneous impulsive fractional stochastic differential inclusion with fBm
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• An approach via fractional analysis to non-linearity induced by coarse-graining in space
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• Stochastic differential calculus for Gaussian and non-Gaussian noises: a critical review
• Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions
• Solutions to BSDEs driven by multidimensional fractional Brownian motions
• Itô formula and local time for the fractional {B}rownian sheet
• Variational solutions for partial differential equations driven by a fractional noise

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