Fractional Brownian motion : stochastic calculus and applications

@inproceedings{Nualart2006FractionalBM,
  title={Fractional Brownian motion : stochastic calculus and applications},
  author={David Nualart},
  year={2006}
}
Fractional Brownian motion (fBm) is a centered self-similar Gaussian process with stationary increments, which depends on a parameter H ∈ (0, 1) called the Hurst index. In this note we will survey some facts about the stochastic calculus with respect to fBm using a pathwise approach and the techniques of the Malliavin calculus. Some applications in turbulence and finance will be discussed. Mathematics Subject Classification (2000). Primary 60H30; Secondary 60G18. 

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