Q-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market

DOI10.1080/07362990802565084zbMath1158.60364OpenAlexW1975457217MaRDI QIDQ3611813

Wilfried Grecksch, V. V. Anh, Christian J. Roth

Publication date: 3 March 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990802565084

zbMATH Keywords

quasi-conditional expectationGirsanov's formulafractional white noise calculus\(Q\)-fractional Brownian motion in infinite dimensions\(Q\)-fractional hida spacesClark-Haussmann-Ocone theoreminfinite-dimensional Black-Scholes market

Mathematics Subject Classification ID

Related Items (8)

Stochastic evolution equations driven by Liouville fractional Brownian motion ⋮ Wavelet-Based Estimation of Anisotropic Spatiotemporal Long-Range Dependence ⋮ Interval-valued fractional \(q\)-calculus and applications ⋮ A note on stochastic Schrödinger equations with fractional multiplicative noise ⋮ Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime ⋮ Moment computations for graphs with fractal property ⋮ Weak solutions for stochastic differential equations with additive fractional noise ⋮ Uncertain fractional differential equations on a time scale under granular differentiability concept

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