Stochastic Calculus for Fractional Brownian Motion I. Theory
type: Item
instance of: scholarly article
title: Stochastic Calculus for Fractional Brownian Motion I. Theory
zbMATH Open document ID: 0947.60061
DOI: 10.1137/S036301299834171X
author: T. E. Duncan
author: Yaozhong Hu
author: B. Pasik-Duncan
published in: SIAM Journal on Control and Optimization
publication date: 2000-03-19T00:00:00Z
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 60G15
Mathematics Subject Classification ID: 60G18
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 1416962
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: stochastic calculus
zbMATH Keywords: Itô integral
zbMATH Keywords: Stratonovich integral
zbMATH Keywords: Itô formula
zbMATH Keywords: Wick product
zbMATH Keywords: Itô calculus
zbMATH Keywords: multiple Itô integrals
zbMATH Keywords: multiple Stratonovich integrals
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 1416962