$Stochastic calculus with respect to multi-fractional Brownian motion and applications to finance$

Stochastic calculus with respect to multi-fractional Brownian motion and applications to finance

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Le premier chapitre de cette thèse introduit les différentes notions que nous utiliserons et présente les travaux qui constituent ce mémoire.Dans le deuxième chapitre de cette thèse nous donnons une construction ainsi que les principales propriétés de l'intégrale stochastique par rapport au m...

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Bibliographic Details
Main Author:	Lebovits, Joachim
Other Authors:	Châtenay-Malabry, Ecole centrale de Paris
Language:	en
Published:	2012
Subjects:	Intégrale stochastique Mouvement brownien multifractionnaire Formule de Tanaka Stochastic integral Multifractional Brownian motion Tanaka formula
Online Access:	http://www.theses.fr/2012ECAP0006/document

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