论文信息 - Fractional Brownian motion in a nutshell

Fractional Brownian motion in a nutshell

This is an extended version of the lecture notes to a mini-course devoted to fractional Brownian motion and delivered to the participants of 7th Jagna International Workshop.

Georgiy Shevchenko | G. Shevchenko

[1] B. Øksendal,et al. Stochastic Calculus for Fractional Brownian Motion and Applications , 2008 .

[2] Ivan Nourdin,et al. Selected Aspects of Fractional Brownian Motion , 2013 .

[3] D. Stroock. The malliavin calculus and its applications , 1981 .

[4] J. Coeurjolly,et al. Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study , 2000 .

[5] I︠U︡lii︠a︡ S. Mishura. Stochastic Calculus for Fractional Brownian Motion and Related Processes , 2008 .