Backward Stochastic Differential Equation Driven by Fractional Brownian Motion.

Yaozhong Hu Shige Peng

Published in: SIAM J. Control. Optim. (2009)

Keyphrases

stochastic differential equations
fractional brownian motion
long range
non stationary
fractal dimension
maximum a posteriori estimation
long range dependence
random fields
financial markets
brownian motion
historical data
stochastic process
additive gaussian noise