Stochastic Calculus for Fractional Brownian Motion and Related Processes

Download or read book Stochastic Calculus for Fractional Brownian Motion and Related Processes written by Yuliya Mishura and published by Springer Science & Business Media. This book was released on 2008-01-02 with total page 411 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume examines the theory of fractional Brownian motion and other long-memory processes. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern level of this field. It proves that the market with stock guided by the mixed model is arbitrage-free without any restriction on the dependence of the components and deduces different forms of the Black-Scholes equation for fractional market.