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1answer
672 views

Need help understanding Mandelbrot and Van Ness Fractional Brownian Motion

I need help understanding the Mandelbot and Van Ness' definition of Fractional Brownian motion $ B_H( t , \omega ) - B_H( 0 , \omega ) = \frac{1}{\Gamma(H + \frac{1}{2})} \left\( \int_{-\infty}^0 ...
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2answers
361 views

Systematization of deterministic and stochastic integrals

With this question I try to build up a systematization of different kinds of integrals. The following table differentiates between deterministic and stochastic integrals, the summation processes ...