Stochastic Calculus for Fractional Brownian Motion I. Theory
Top Cited Papers
- 1 January 2000
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control and Optimization
- Vol. 38 (2) , 582-612
- https://doi.org/10.1137/s036301299834171x
Abstract
No abstract availableKeywords
This publication has 9 references indexed in Scilit:
- Chaos decomposition of multiple fractional integrals and applicationsProbability Theory and Related Fields, 1999
- On the prediction of fractional Brownian motionJournal of Applied Probability, 1996
- Itô's formula with respect to fractional Brownian motion and its applicationJournal of Applied Mathematics and Stochastic Analysis, 1996
- Stochastic analysis of fractional brownian motionsStochastics and Stochastic Reports, 1995
- Quantum Probability for ProbabilistsLecture Notes in Mathematics, 1993
- Absolute continuity for abstract Wiener spacesPacific Journal of Mathematics, 1974
- Fractional Brownian Motions, Fractional Noises and ApplicationsSIAM Review, 1968
- Multiple Wiener IntegralJournal of the Mathematical Society of Japan, 1951
- The Homogeneous ChaosAmerican Journal of Mathematics, 1938