Home > Papers

 
 
Fractional Brownian Motion and Sheet as White Noise Functionals
ZHIYUAN HUANG,CHUJIN LI #
hust
*Correspondence author
#Submitted by
Subject:
Funding: none
Opened online: 5 April 2004
Accepted by: none
Citation: ZHIYUAN HUANG,CHUJIN LI.Fractional Brownian Motion and Sheet as White Noise Functionals[OL]. [ 5 April 2004] http://en.paper.edu.cn/en_releasepaper/content/563
 
 
In this short note, we show that it is more natural to look the fractional Brownian motion as functionals of the standard white noises , and the fractional white noise calculus developed in Ref. [1] follows directly from the classical white noise functional calculus. As examples we prove that the fractional Girsanov formula, the It\^{o} type integrals and the fractional Black-Scholes formula are easy consequences of their classical counterparts. An extension to the fractional Brownian sheet is also shortly discussed.
Keywords:Fractional Brownian motion; Fractional white
 
 
 

For this paper
  • ● PDF (0B)
  • ● Revision 0 　　
  • ● Print this paper
  • ● Recommend this paper to a friend
  • ● Add to my favorite list

    Saved Papers

    Please enter a name for this paper to be shown in your personalized Saved Papers list

Tags
Add yours

Related Papers

Statistics
PDF Downloaded 817
Bookmarked 0
Recommend 5
Comments Array
Submit your papers