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).
F.Biagini, Øksendal B., Sulem A., Wallner N. (2004). An introduction to White noise theory and Malliavin calculus for fractional Brownian motion. PROCEEDINGS OF THE ROYAL SOCIETY OF LONDON. SERIES A, 460, 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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