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Please use this identifier to cite or link to this item: http://ds.libol.fpt.edu.vn/handle/123456789/1949

Title: Fractional stochastic differential equations with applications to finance
Authors: Nguyen, Tien Dung
Keywords: Stochastic differential equations
Fractional Brownian motion
Malliavin calculus
Filtering
Optimal portfolio
Issue Date: 1-Jan-2013
Publisher: Academic Press
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.
Description: 14 pages
URI: http://ds.libol.fpt.edu.vn/handle/123456789/1949
Appears in Collections:Articles published by FPT lecturers

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