Stochastic differential equations with long-memory input
Nguyen, Cu Ngoc (2001) Stochastic differential equations with long-memory input. PhD thesis, Queensland University of Technology.
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|Item Type:||QUT Thesis (PhD)|
|Additional Information:||Presented to the Centre in Statistical Science and Industrial Mathematics, School of Mathematical Sciences, Queensland University of Technology.|
|Keywords:||Stochastic differential equations, Stochastic processes, long range dependence, short range dependence, fractional diffusion, stationary increments, Brownian motion, fractional Brownian motion, fractional Reisz-Bessel motion, semimartingale, prediction formula, stochastic differential equation, stochastic integral, Ito formula, fractional Black-Scholes model, linear filtering, nonlinear filtering, thesis, doctoral|
|Institution:||Queensland University of Technology|
|Copyright Owner:||Copyright Cu Ngoc Nguyen|
|Deposited On:||22 Sep 2010 23:07|
|Last Modified:||09 Feb 2011 23:55|
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