# fractional Brownian motion

### FRACTIONAL BROWNIAN MOTION AND STANDARD BROWNIAN MOTION

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### CiteSeerX — The fractional Brownian motion

**fractional**

**Brownian**

**motion**is standard

**Brownian**

**motion**and denoted by W . FBm is interesting from a theoretical ...

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### Arbitrage with fractional brownian motion?

**fractional**Brown- ian

**motion**starting at −∞ , and subsequently by Cheridito [8], taking only the history starting from 0 into ...the

**fractional**

**Brownian**...

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### Is the Driving Force of a Continuous Process a Brownian Motion or Fractional Brownian Motion?

**Brownian**

**motion**is typically used in modeling the asset prices, interest rates and ex- change rates, and so ...of

**Brownian**

**motion**as a driving force of the underlying asset price processes ...

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### CiteSeerX — Representations of Fractional Brownian Motion

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**motion**. Notice that the Molchan-Golosov representation requires integration only ...

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### CiteSeerX — REMARKS ON THE FRACTIONAL BROWNIAN MOTION

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**motion**. In this paper, we use a convolution of a white noise by a distribution T . This distribution operates in principal value as explained in ...

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### An extension of sub-fractional Brownian motion

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**Brownian**

**motion**...

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### Fractional Brownian motion: theory and applications

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**motion**. We begin by the construction of the process for which recent theoretical advances ...

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### Fractional Brownian Motion with a Reflecting Wall

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**Brownian**

**motion**, a stochastic process with long-time correlations between its increments, is a prototypical model for anomalous ...analyze

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**Brownian**...

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### Transformation formulas for fractional Brownian motion

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**motion**was proposed by Mandelbrot and Van Ness in 1968, when they described fBm by a Wiener integral process of a

**fractional**integral kernel, ...

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### Prediction law of fractional Brownian motion

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### Estimation of the drift of fractional Brownian motion

**fractional**

**Brownian**

**motion**(fBm) defined on the probability space (Ω, F, P ...dimensional

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**Brownian**motions with Hurst parameter H ∈ (0, 1), ...

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### Cylindrical fractional Brownian motion in Banach spaces

**FRACTIONAL**

**BROWNIAN**

**MOTION**IN BANACH SPACES ELENA ISSOGLIO AND MARKUS RIEDLE ...cylindrical

**fractional**

**Brownian**motions in Banach spaces and develop the related stochastic ...

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### The quadratic variation for mixed fractional Brownian motion

**Fractional**

**Brownian**

**Motion**with a Miew towards Stock Price ...The

**fractional**mixed

**fractional**

**Brownian**...a

**fractional**mixed

**fractional**

**Brownian**...

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### Weak convergence of the complex fractional Brownian motion

**fractional**

**Brownian**

**motion**from a standard Poisson process and from a Lévy process, respectively, by the method in Delgado and Jolis ...

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### Stochastic integration with respect to the fractional Brownian motion

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**motion**B with Hurst parameter H > 2 1 using the techniques of the Malliavin calculus. Unlike ...

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### The valuation of currency options by fractional Brownian motion

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**motion**model (FBM). The

**fractional**partial differ- ential ...

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### The Application of Fractional Brownian Motion in Option Pricing

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**Brownian**

**Motion**; Options; Volatility ...Brown

**Motion**theory is usually used for researching the change of asset price in previous option pricing theory, while ...

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### STOCHASTIC INTEGRATION WITH RESPECT TO FRACTIONAL BROWNIAN MOTION

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**motion**a natural can- didate as a model of noise in mathematical finance (see Comte and Re- nault [5], Rogers [26]), and in communication networks (see, for instance, Leland, ...

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### Basic properties of the Multivariate Fractional Brownian Motion

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**motion**has been a question of great interest in the ...a

**fractional**Gaussian ...the

**fractional**Gaussian noise, it can be proved that the circulant matrix is ...

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