Abstract
The fractional Brownian motion is a self-similar centered Gaussian process with stationary increments and variance equals t2H, where H is a parameter in the interval (0, 1). For H = ½ this process is a classical Brownian motion. In this chapter we will present the application of the Malliavin Calculus to develop a stochastic calculus with respect to the fractional Brownian motion.
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© 2006 Springer-Verlag Berlin/Heidelberg
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Nualart, D. (2006). Fractional Brownian motion. In: The Malliavin Calculus and Related Topics. Probability, its Applications. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-28329-3_5
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DOI: https://doi.org/10.1007/3-540-28329-3_5
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-28328-7
Online ISBN: 978-3-540-28329-4
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