Stochastic calculus for fractional Brownian motion and related processes.
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Publication:2463941
DOI10.1007/978-3-540-75873-0zbMath1138.60006OpenAlexW588973965MaRDI QIDQ2463941
Publication date: 6 December 2007
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-75873-0
Gaussian processwhite noiseBlack-Scholes modelstochastic integrationGirsanov's theoremFractional Brownian motionItô's formulahypotheses testingfiltering problem
Random fields (60G60) Gaussian processes (60G15) Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) White noise theory (60H40) Stochastic integrals (60H05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
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