Stochastic Calculus for Fractional Brownian Motion and Related Processes
Publication year: 2008
ISBN: 978-3-540-75873-0
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The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. Among these are results about Levy characterization of fractional Brownian motion, maximal moment inequalities for Wiener integrals including the values 0
Subject: Mathematics and Statistics, Maxima, Probability theory, Stochastic calculus, financial markets, fractional Brownian motion, statistical inference, stochastic differential equations, stochastic integration
