Stochastic Calculus for Fractional Brownian Motion and Related Processes

  • Yuliya S. Mishura

Part of the Lecture Notes in Mathematics book series (LNM, volume 1929)

About this book

Introduction

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<H<1/2 of Hurst index, the conditions of existence and uniqueness of solutions to SDE involving additive Wiener integrals, and of solutions of the mixed Brownian—fractional Brownian SDE. The author develops optimal filtering of mixed models including linear case, and studies financial applications and statistical inference with hypotheses testing and parameter estimation. She proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.

Keywords

Maxima Probability theory Stochastic calculus financial markets fractional Brownian motion statistical inference stochastic differential equations stochastic integration

Authors and affiliations

  • Yuliya S. Mishura
    • 1
  1. 1.Department of Mechanics and MathematicsKyiv National Taras Shevchenko UniversityKyivUkraine

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-540-75873-0
  • Copyright Information Springer Berlin Heidelberg 2008
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-540-75872-3
  • Online ISBN 978-3-540-75873-0
  • Series Print ISSN 0075-8434
  • About this book