Fractional stochastic differential equations with applications to finance

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:397

Article

Nguyen Tien Dung

关键词: Stochastic differential equations;    Fractional Brownian motion;    Malliavin calculus;    Filtering;    Optimal portfolio;   

DOI  :  10.1016/j.jmaa.2012.07.062

来源: Elsevier

【 摘 要 】

In this paper we use a definition of the fractional stochastic integral given by Carmona et al. (2003) in [19] and develop a simple approximation method to study quasi-linear stochastic differential equations by fractional Brownian motion. We also propose a stochastic process, namely fractional semimartingale, to model for the noise driving in some financial models. (C) 2012 Elsevier Inc. All rights reserved.

【 授权许可】

Free