Stochastic Calculus for Fractional Brownian Motion and Applications

ISBN: 978-1-85233-996-8 (Print) 978-1-84628-797-8 (Online)

Table of contents (10 chapters)

  1. Front Matter

    Pages i-xiv

  2. Fractional Brownian motion

    1. No Access

      Chapter

      Pages 5-20

      Intrinsic properties of the fractional Brownian motion

  3. Stochastic calculus

    1. No Access

      Chapter

      Pages 23-45

      Wiener and divergence-type integrals for fractional Brownian motion

    2. No Access

      Chapter

      Pages 47-97

      Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H >1/2

    3. No Access

      Chapter

      Pages 99-122

      WickItô Skorohod (WIS) integrals for fractional Brownian motion

    4. No Access

      Chapter

      Pages 123-145

      Pathwise integrals for fractional Brownian motion

    5. No Access

      Chapter

      Pages 147-166

      A useful summary

  4. Applications of stochastic calculus

    1. No Access

      Chapter

      Pages 169-180

      Fractional Brownian motion in finance

    2. No Access

      Chapter

      Pages 181-206

      Stochastic partial differential equations driven by fractional Brownian fields

    3. No Access

      Chapter

      Pages 207-238

      Stochastic optimal control and applications

    4. No Access

      Chapter

      Pages 239-269

      Local time for fractional Brownian motion

  5. Back Matter

    Pages 273-329