Title of article :
Fractional stochastic differential equations with applications to finance
Author/Authors :
Nguyen Tien، نويسنده , , Dung، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2013
Abstract :
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.
Keywords :
Fractional Brownian motion , stochastic differential equations , Malliavin Calculus , Optimal portfolio , filtering
Journal title :
Journal of Mathematical Analysis and Applications
Journal title :
Journal of Mathematical Analysis and Applications