Stochastic Calculus for Fractional Brownian Motion and Applications

Part I: Fractional Brownian Motion.- Intrinsic properties of the fractional Brownian motion. Part II: Stochastic Calculus.- Wiener and divergence-type integrals for fractional Brownian motion.- Fractional Wick-Itô-Skorohod (fWIS-) integrals for fractional Brownian motion of Hurst Index H > ½.- Wick-Itô-Skorohod integrals for fractional Brownian motion.- Pathwise integrals for fractional Brownian motion.- A useful summary. Part III: Applications of Stochastic Calculus.- Fractional Brownian motion in finance.- Stochastic partial differential equations driven by fractional Brownian fields.- Stochastic optimal control and applications.- Local time for fractional Brownian motion. Part IV: Appendices.- Classical Malliavin calculus.- Notions from fractional calculus.- Estimation of Hurst parameter.- Stochastic differential equations for fBm.- References.- List of symbols and notation.- Index.