The purpose of this paper is to give an introduction to the stochastic (Wick-It^{o}) integration and (Malliavin type) differentiation for fractional Brownian motion of any Hurst index H in (0,1).
An introduction to White noise theory and Malliavin calculus for fractional Brownian motion / F.Biagini;Øksendal B.; Sulem A.; Wallner N.. - In: PROCEEDINGS OF THE ROYAL SOCIETY OF LONDON. SERIES A. - ISSN 1364-5021. - STAMPA. - 460:(2004), pp. 347-372. [10.1098/rspa.2003.1246]
An introduction to White noise theory and Malliavin calculus for fractional Brownian motion
BIAGINI, FRANCESCA;
2004
Abstract
The purpose of this paper is to give an introduction to the stochastic (Wick-It^{o}) integration and (Malliavin type) differentiation for fractional Brownian motion of any Hurst index H in (0,1).File in questo prodotto:
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