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Please use this identifier to cite or link to this item: http://ds.libol.fpt.edu.vn/handle/123456789/1958

Title: An approximate approach to fractional stochastic integration and Its applications
Authors: Nguyen, Tien Dung
Tran, Hung Thao
Keywords: Fractional Brownian motion
Ruin probability
Asset liability management
Issue Date: 2010
Publisher: Brazilian Statistical Association
Abstract: The aim of this paper is to introduce an approximation approach to fractional stochastic integration. Based on our obtained result, we find explicit solution of some fractional stochastic differential equations and study the ruin probability in the asset liability management (ALM) model.
Description: 10 pages
URI: http://ds.libol.fpt.edu.vn/handle/123456789/1958
Appears in Collections:Articles published by FPT lecturers

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