Add to ORKGThe subject of this thesis is to study the geometric fracional Brownian motion. To do this, the necessary theory is presented. The first chapter summarizes the basic theory of stochastic processes. The second chapter deals with fractional Brownian motion. This is followed by the construction of Itô integral with respect to the Brownian motion. The main focus is the Itô's lemma. The formula for geometric Brownian motion is then derived using the Itô's lemma. In the last chapter deals with the geometric fractional Brownian motion. Its limit behaviour is studied. Some simulated examples are shown.
The aim of this work is to establish and generalize a relationship between fractional partial differ...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
We present new theoretical results on the fractional Brownian motion, including different definition...
In this paper we show, by using dyadic approximations, the existence of a geometric rough path assoc...
This work concerns the fractional Brownian motion, in particular, the properties of its trajectories...
In this paper a stochastic calculus is given for the fractional Brownian motions that have the Hurst...
This article is aimed at to derive geometric fractional Brownian motion where its volatility follow ...
Fractional Brownian motion is a nontrivial generalization of standard Brownian motion (Wie- ner proc...
Abstract We present new theoretical results on the fractional Brownianmo tion including dierent de...
The present work describes the relation between solutions of a special kind of nonlinear stochastic ...
This thesis deals with the stochastic integral with respect to Gaussian processes, which can be expr...
Some of the most significant constructions of the fractional brownian motion developed recently are ...
50 pages with 28 figures. For a supplemental Mathematica notebook (Ref[76]) see https://www.dropbox....
El movimiento browniano fraccional como ĺımite de ciertos tipos de procesos estocástico
The aim of this work is to establish and generalize a relationship between fractional partial differ...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...
We present new theoretical results on the fractional Brownian motion, including different definition...
In this paper we show, by using dyadic approximations, the existence of a geometric rough path assoc...
This work concerns the fractional Brownian motion, in particular, the properties of its trajectories...
In this paper a stochastic calculus is given for the fractional Brownian motions that have the Hurst...
This article is aimed at to derive geometric fractional Brownian motion where its volatility follow ...
Fractional Brownian motion is a nontrivial generalization of standard Brownian motion (Wie- ner proc...
Abstract We present new theoretical results on the fractional Brownianmo tion including dierent de...
The present work describes the relation between solutions of a special kind of nonlinear stochastic ...
This thesis deals with the stochastic integral with respect to Gaussian processes, which can be expr...
Some of the most significant constructions of the fractional brownian motion developed recently are ...
50 pages with 28 figures. For a supplemental Mathematica notebook (Ref[76]) see https://www.dropbox....
El movimiento browniano fraccional como ĺımite de ciertos tipos de procesos estocástico
The aim of this work is to establish and generalize a relationship between fractional partial differ...
The aim of this work is to establish and generalize a relationship between fractional partial differ...
The theory of fractional Brownian motion and other long-memory processes are addressed in this volum...