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Itô Formulas for Fractional Brownian Motion

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Advances in Mathematical Finance

Part of the book series: Applied and Numerical Harmonic Analysis ((ANHA))

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Summary

This article reviews the theory of fractional Brownian motion (fBm) in the white noise framework, and we present a new approach to the proof of Itô-type formulas for the stochastic calculus of fractional Brownian motion.

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Author information

Authors and Affiliations

  1. Haskayne School of Business Scurfield Hall, University of Calgary 2500 University Drive NW, Calgary, Alberta T2N 1N4, Canada

    Robert J. Elliott

  2. Discipline of Applied Mathematics, University of Adelaide, Adelaide, South Australia 5005, Australia

    John van der Hoek

Authors
  1. Robert J. Elliott
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  2. John van der Hoek
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Editor information

Editors and Affiliations

  1. Robert H. Smith School of Business Van Munching Hall, University of Maryland, College Park, MD 20742, USA

    Michael C. Fu

  2. Johnson Graduate School of Management 451 Sage Hall, Cornell University, Ithaca, NY 14853, USA

    Robert A. Jarrow

  3. Department of Mathematics, 1326 Stevenson Center Vanderbilt University, Nashville, TN 37240, USA

    Ju-Yi J. Yen

  4. Haskayne School of Business Scurfield Hall, University of Calgary, Calgary, AB T2N 1N4, Canada

    Robert J. Elliott

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© 2007 Birkhäuser Boston

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Elliott, R.J., Hoek, J.v. (2007). Itô Formulas for Fractional Brownian Motion. In: Fu, M.C., Jarrow, R.A., Yen, JY.J., Elliott, R.J. (eds) Advances in Mathematical Finance. Applied and Numerical Harmonic Analysis. Birkhäuser Boston. https://doi.org/10.1007/978-0-8176-4545-8_5

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