Integral transformations and anticipative calculus for fractional Brownian motions /
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| Author / Creator: | Hu, Yaozhong, 1961- |
|---|---|
| Imprint: | Providence, R.I. : American Mathematical Society, 2005. |
| Description: | vii, 127 p. ; 26 cm. |
| Language: | English |
| Series: | Memoirs of the American Mathematical Society, 0065-9266 ; no. 825 |
| Subject: | Stochastic integrals. Gaussian processes. Fractional calculus. Integral transforms. Fractional calculus. Gaussian processes. Integral transforms. Stochastic integrals. |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/5616244 |
Table of Contents:
- Introduction
- Representations Induced transformation
- I. Approximation Induced transformation
- II. Stochastic calculus of variation
- Stochastic integration
- Nonlinear translation (Absolute continuity)
- Conditional expectation
- Integration by parts
- Composition (Ito formula)
- Clark type representation
- Continuation
- Stochastic control
- Appendix
- Bibliography
