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• W2003408818 abstract "Fractional Brownian motion (FBM) with Hurst parameter index between 0 and 1 is a stochastic process originally introduced by Kolmogorov in a study of turbulence. Many other applications have subsequently been suggested. In order to obtain good mathematical models based on FBM, it is necessary to have a stochastic calculus for such processes. The purpose of this paper is to give an introduction to this newly developed theory of stochastic integration for FBM based on white-noise theory and (Malliavin–type) differentiation." @default.
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• W2003408818 date "2004-01-08" @default.
• W2003408818 modified "2023-10-02" @default.
• W2003408818 title "An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion" @default.
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• W2003408818 doi "https://doi.org/10.1098/rspa.2003.1246" @default.
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