Itô's formula with respect to fractional Brownian motion and its application.

Dai, W., and Heyde, C.C.. "Itô's formula with respect to fractional Brownian motion and its application.." Journal of Applied Mathematics and Stochastic Analysis 9.4 (1996): 439-448. <http://eudml.org/doc/47673>.

@article{Dai1996,
author = {Dai, W., Heyde, C.C.},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
keywords = {fractional Brownian motion; Itô's formula; long range dependence; stochastic differential equations; Black-Scholes model; Itô’s formula},
language = {eng},
number = {4},
pages = {439-448},
publisher = {Hindawi Publishing Corporation, New York},
title = {Itô's formula with respect to fractional Brownian motion and its application.},
url = {http://eudml.org/doc/47673},
volume = {9},
year = {1996},
}

TY - JOUR
AU - Dai, W.
AU - Heyde, C.C.
TI - Itô's formula with respect to fractional Brownian motion and its application.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 1996
PB - Hindawi Publishing Corporation, New York
VL - 9
IS - 4
SP - 439
EP - 448
LA - eng
KW - fractional Brownian motion; Itô's formula; long range dependence; stochastic differential equations; Black-Scholes model; Itô’s formula
UR - http://eudml.org/doc/47673
ER -