On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
type: Item
instance of: scholarly article
title: On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
zbMATH Open document ID: 1082.60029
published in: Applied Mathematics Letters
publication date: 2005-08-01T00:00:00Z
Mathematics Subject Classification ID: 60G15
zbMATH DE Number: 2189666
zbMATH Keywords: Maruama notation
zbMATH Keywords: stochastic differential equation
zbMATH Keywords: stochastic calculus of fractional order
zbMATH Keywords: Taylor's series of fractional order
author: Guy Jumarie
MaRDI profile type: Publication
full work available at URL: j.aml.2004.05.014
OpenAlex ID: W2029239285
cites work: Stochastic analysis of the fractional Brownian motion
cites work: Stochastic differential equations with fractional Brownian motion input
cites work: Fractional Brownian motions via random walk in the complex plane and via fractional derivative. Comparison and further results on their Fokker-Planck equations
cites work: ON FRACTIONAL INTEGRALS AND DERIVATIVES
cites work: Fractional Brownian Motions, Fractional Noises and Applications
cites work: A class of micropulses and antipersistent fractional Brownian motion
cites work: Alternative micropulses and fractional Brownian motion
DOI: 10.1016/J.AML.2004.05.014
description: scientific article