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.
Citation
Nguyen Tien Dung. Tran Hung Thao. "An approximate approach to fractional stochastic integration and its applications." Braz. J. Probab. Stat. 24 (1) 57 - 67, March 2010. https://doi.org/10.1214/08-BJPS013
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