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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ID Code: 37095
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 13:07
Last Modified: 25 Aug 2016 05:38

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