Stochastic Calculus for Fractional Brownian Motion and Related Processes

Yuliya S. Mishura (auth.)3540758720, 978-3-540-75872-3

The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. Among these are results about Levy characterization of fractional Brownian motion, maximal moment inequalities for Wiener integrals including the values 0

Table of contents :
Front Matter….Pages I-XVII
Wiener Integration with Respect to Fractional Brownian Motion….Pages 1-121
Stochastic Integration with Respect to fBm and Related Topics….Pages 123-196
Stochastic Differential Equations Involving Fractional Brownian Motion….Pages 197-290
Filtering in Systems with Fractional Brownian Noise….Pages 291-299
Financial Applications of Fractional Brownian Motion….Pages 301-326
Statistical Inference with Fractional Brownian Motion….Pages 327-362
Back Matter….Pages 363-393