Skip to main content
Book Chapter

Itô formulas for fractional brownian motion

Springer International Publishing, (2007), 59-81
DOI: 10.1007/978-0-8176-4545-8_5
1Citations
Citations of this article
7Readers
Mendeley users who have this article in their library.
Get full text

Abstract

This article reviews the theory of fractional Brownian motion (fBm) in the white noise framework, and we present a new approach to the proof of Itô-type formulas for the stochastic calculus of fractional Brownian motion.

Author supplied keywords

Cite

CITATION STYLE

APA

Elliott, R. J., & van der Hoek, J. (2007). Itô formulas for fractional brownian motion. In Applied and Numerical Harmonic Analysis (pp. 59–81). Springer International Publishing. https://doi.org/10.1007/978-0-8176-4545-8_5

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free