Itô's formula with respect to fractional Brownian motion and its application
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Publication:675254
DOI10.1155/S104895339600038XzbMath0867.60029MaRDI QIDQ675254
Publication date: 20 July 1997
Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/47673
fractional Brownian motionstochastic differential equationsBlack-Scholes modellong range dependenceItô's formula
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
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