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).
Titolo: | An introduction to White noise theory and Malliavin calculus for fractional Brownian motion |
Autore/i: | BIAGINI, FRANCESCA; Øksendal B.; Sulem A.; Wallner N. |
Autore/i Unibo: | |
Anno: | 2004 |
Rivista: | |
Digital Object Identifier (DOI): | http://dx.doi.org/10.1098/rspa.2003.1246 |
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). |
Data prodotto definitivo in UGOV: | 2005-10-14 13:39:08 |
Appare nelle tipologie: | 1.01 Articolo in rivista |
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