On the Construction of a New Fractional Brownian Motion | Chapter 3 | Mathematics and Computer Science: Contemporary Developments Vol. 9

 

A fractional normal distribution is constructed. With the help of this new distribution, a fractional Brownian motion is defined. A generalization of the Ito stochastic integration is given and some stochastic properties are studied. Formula Ito and the product rule are generalized.

 

Author (s) Details

 

Mahmoud M. El-Borai
Department of Mathematics and Computer Sciences-Faculty of Science, Alexandria University, Egypt.

 

Khairia El-Said El-Nadi
Department of Mathematics and Computer Sciences-Faculty of Science, Alexandria University, Egypt.

 

Please see the book here:- https://doi.org/10.9734/bpi/mcscd/v9/3104