Volume 5, 1998Fractional Differential Systems: Models, Methods and Applications
|Page(s)||75 - 86|
|Published online||15 August 2002|
Fractional Brownian motion: theory and applications
École Nationale Supérieure des Télécommunications, Département Informatique et Réseaux 46, rue Barrault, 75 634 Paris Cedex 13, France
We present new theoretical results on the fractional Brownian motion, including different definitions (and their relationships) of the stochastic integral with respect to this process, Girsanov theorem, Clark representation formula, Itô formula and so on. Several applications (such as non-linear filtering theory, queuing networks, mathematical finance) are given as applied examples of these theoretical results.
© EDP Sciences, ESAIM, 1998
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