Q-fractional Brownian motion in infinite dimensions with application to fractional black-scholes market

Stochastic Analysis and Applications

Volumn 27, Issue 1, 2009, Pages 149-175

  Grecksch, W ^a   Roth, C ^a   Anh, V V ^b  

^a MARTIN LUTHER UNIVERSITY HALLE WITTENBERG   (Germany)

^b QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

Author keywords

Clark Haussmann Ocone theorem; Fractional white noise calculus; Girsanov's formula; Infinite dimensional Black Scholes market; Q fractional Brownian motion in infinite dimensions; Q fractional Hida spaces; Quasi conditional expectation

Indexed keywords

EID: 58149203530     PISSN: 07362994     EISSN: 15329356     Source Type: Journal    
DOI: 10.1080/07362990802565084     Document Type: Article

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