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Fractional Brownian motion: Theory and applications. (English) Zbl 0914.60019
The authors present new theoretical results on the fractional Brownian motion including different definitions of the stochastic integral with respect to the fractional Brownian motion and their relationships. They present several applications in different fields: queueing networks, filtering theory, mathematical finance. They try to demonstrate how infinite-dimensional processes arise naturally when studying long-range dependent processes.

MSC:
60H05 Stochastic integrals
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