Stochastic calculus for fractional Brownian motion. I. Theory.

Tyrone E. Duncan Yaozhong Hu Bozenna Pasik-Duncan

Published in: CDC (2000)

Keyphrases

fractional brownian motion
long range
non stationary
stochastic differential equations
fractal dimension
long range dependence
random fields
financial markets
computer algebra
pairwise
multiresolution
risk management