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

Dai, W.; Heyde, C.C.

Journal of Applied Mathematics and Stochastic Analysis (1996)

  • Volume: 9, Issue: 4, page 439-448
  • ISSN: 2090-3332

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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 -

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