An approximate approach to fractional stochastic integration and its applications
Dung, Nguyen Tien ; Thao, Tran Hung
Braz. J. Probab. Stat., Tome 24 (2010) no. 1, p. 57-67 / Harvested from Project Euclid
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The aim of this paper is to introduce an approximation approach to fractional stochastic integration. Based on our obtained result, we find explicit solution of some fractional stochastic differential equations and study the ruin probability in the asset liability management (ALM) model.
Publié le : 2010-03-15
Classification:  Fractional Brownian motion,  ruin probability,  asset liability management 
@article{1262271215,
     author = {Dung, Nguyen Tien and Thao, Tran Hung},
     title = {An approximate approach to fractional stochastic integration and its applications},
     journal = {Braz. J. Probab. Stat.},
     volume = {24},
     number = {1},
     year = {2010},
     pages = { 57-67},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1262271215}
}

Dung, Nguyen Tien; Thao, Tran Hung. An approximate approach to fractional stochastic integration and its applications. Braz. J. Probab. Stat., Tome 24 (2010) no. 1, pp.  57-67. http://gdmltest.u-ga.fr/item/1262271215/