Stochastic calculus with respect to the fractional Brownian motion

DOI10.4171/120-1/28zbMATH Open1364.60046OpenAlexW4230997263MaRDI QIDQ2989904

David Nualart

Publication date: 8 June 2017

Published in: European Congress of Mathematics Kraków, 2 – 7 July, 2012 (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AFST_2006_6_15_1_63_0/

zbMATH Keywords

fractional Brownian motionItô's formulaempirical quantiles

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Related Items (3)

Statistical aspects of the fractional stochastic calculus ⋮ Unnamed Item ⋮ Stochastic analysis of the fractional Brownian motion

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