An approximate approach to fractional stochastic integration and its applications
Nguyen Tien Dung and Tran Hung Thao
Source: Braz. J. Probab. Stat. Volume 24, Number 1
(2010), 57-67.
Abstract
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.
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.bjps/1262271215
Digital Object Identifier: doi:10.1214/08-BJPS013
Mathematical Reviews number (MathSciNet): MR2580988
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