Book contents
- Frontmatter
- Dedication
- Contents
- Expanded Contents
- List of Abbreviations
- Notation
- Preface
- 1 A Brief Overview of Time Series and Stochastic Processes
- 2 Basics of Long-Range Dependence and Self-Similarity
- 3 Physical Models for Long-Range Dependence and Self-Similarity
- 4 Hermite Processes
- 5 Non-Central and Central Limit Theorems
- 6 Fractional Calculus and Integration of Deterministic Functions with Respect to FBM
- 7 Stochastic Integration with Respect to Fractional Brownian Motion
- 8 Series Representations of Fractional Brownian Motion
- 9 Multidimensional Models
- 10 Maximum Likelihood Estimation Methods
- Appendix A Auxiliary Notions and Results
- Appendix B Integrals with Respect to Random Measures
- Appendix C Basics of Malliavin Calculus
- Appendix D Other Notes and Topics
- Bibliography
- Index
7 - Stochastic Integration with Respect to Fractional Brownian Motion
Published online by Cambridge University Press: 11 May 2017
Book contents
- Frontmatter
- Dedication
- Contents
- Expanded Contents
- List of Abbreviations
- Notation
- Preface
- 1 A Brief Overview of Time Series and Stochastic Processes
- 2 Basics of Long-Range Dependence and Self-Similarity
- 3 Physical Models for Long-Range Dependence and Self-Similarity
- 4 Hermite Processes
- 5 Non-Central and Central Limit Theorems
- 6 Fractional Calculus and Integration of Deterministic Functions with Respect to FBM
- 7 Stochastic Integration with Respect to Fractional Brownian Motion
- 8 Series Representations of Fractional Brownian Motion
- 9 Multidimensional Models
- 10 Maximum Likelihood Estimation Methods
- Appendix A Auxiliary Notions and Results
- Appendix B Integrals with Respect to Random Measures
- Appendix C Basics of Malliavin Calculus
- Appendix D Other Notes and Topics
- Bibliography
- Index
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- Long-Range Dependence and Self-Similarity , pp. 397 - 436Publisher: Cambridge University PressPrint publication year: 2017