Abstract
In the preceding chapter we have constructed a model of C-(fBm) n as the limit of random walks in the complex plane, and here we shall expand the theory with two objectives in mind. On the one hand, we shall put in evidence some special features of this new stochastic process, and on the other hand we shall define a new framework for an Itô stochastic calculus of order n. But before we give a summary of the main formulae which we shall need to this end.
There is nothing constant in the universe. All ebb and flow, and every form that is born bears in its womb the seeds of change.
Ovid
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Jumarie, G. (2000). Complex-Valued Fractional Brownian Motion of Order n. Part II. In: Maximum Entropy, Information Without Probability and Complex Fractals. Fundamental Theories of Physics, vol 112. Springer, Dordrecht. https://doi.org/10.1007/978-94-015-9496-7_7
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DOI: https://doi.org/10.1007/978-94-015-9496-7_7
Publisher Name: Springer, Dordrecht
Print ISBN: 978-90-481-5467-8
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