• 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
  • Pages
    15
  • From page
    334
  • To page
    348
  • 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
  • Serial Year
    2013
  • Journal title
    Journal of Mathematical Analysis and Applications
  • Record number

    1563154