Autor: Yaozhong Hu

The stochastic calculus of variations of Paul Malliavin (1925 – 2010), known today as the Malliavin Calculus, has found many applications, within and beyond the core mathematical discipline. Stochast …

Fractional Brownian motion (f Bm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This huge range of potential applications makes f Bm an interesting ob …

’Written by a well-known expert in fractional stochastic calculus, this book offers a comprehensive overview of Gaussian analysis, with particular emphasis on nonlinear Gaussian functionals. In addit …

This paper studies two types of integral transformation associated with fractional Brownian motion. They are applied to construct approximation schemes for fractional Brownian motion by polygonal app …