An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
Copyright policy )An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
The paper presents an introduction to stochastic calculus for fractional Brownian motion with parameter between 0 and 1, with emphasis on stochastic integration based on white noise theory and Malliavin differentiation.
- University of Oxford United Kingdom
- Alma Mater Studiorum University of Bologna Italy
- French Institute for Research in Computer Science and Automation France
- Norwegian School of Economics Norway
- University of Oslo Norway
FRACTIONAL BROWNIAN MOTION; WHITE NOISE THEORY; STOCHASTIC INTEGRATION, Distributions on infinite-dimensional spaces, Stochastic calculus of variations and the Malliavin calculus, Malliavin calculus, fractional Brownian motion, white noise theory, White noise theory, Applications of functional analysis in probability theory and statistics
FRACTIONAL BROWNIAN MOTION; WHITE NOISE THEORY; STOCHASTIC INTEGRATION, Distributions on infinite-dimensional spaces, Stochastic calculus of variations and the Malliavin calculus, Malliavin calculus, fractional Brownian motion, white noise theory, White noise theory, Applications of functional analysis in probability theory and statistics
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