Stochastic integration with respect to fractional brownian motion
Philippe Carmona, Laure Coutin, Gérard Montseny (2003)
Annales de l'I.H.P. Probabilités et statistiques
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Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter called the Hurst index. In this conference we will survey some recent advances in the stochastic calculus with respect to fBm. In the particular case , the process is an ordinary Brownian motion, but otherwise it is not a semimartingale and Itô calculus cannot be used. Different approaches have been introduced to construct stochastic integrals with...