Stochastic calculus with respect to fractional Brownian motion
Work
Year: 2009
Type: article
Abstract: Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter H∈(0,1) called the Hurst index. In this conference we will survey ... more
Author David Nualart
Institution Universitat de Barcelona
Cites: 34
Cited by: 42
Related to: 10
FWCI: 1.849
Citation percentile (by year/subfield): 96.08
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze