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Stochastic Calculus for Fractional Brownian Motion and Applications

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Cover of 'Stochastic Calculus for Fractional Brownian Motion and Applications'

Table of Contents

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    Book Overview
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    Chapter 1 Intrinsic properties of the fractional Brownian motion
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    Chapter 2 Wiener and divergence-type integrals for fractional Brownian motion
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    Chapter 3 Fractional Wick Itô Skorohod (fWIS) integrals for fBm of Hurst index H >1/2
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    Chapter 4 WickItô Skorohod (WIS) integrals for fractional Brownian motion
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    Chapter 5 Pathwise integrals for fractional Brownian motion
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    Chapter 6 A useful summary
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    Chapter 7 Fractional Brownian motion in finance
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    Chapter 8 Stochastic partial differential equations driven by fractional Brownian fields
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    Chapter 9 Stochastic optimal control and applications
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    Chapter 10 Local time for fractional Brownian motion
Attention for Chapter 2: Wiener and divergence-type integrals for fractional Brownian motion
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