Decreusefond, Laurent; Üstünel, Ali Süleyman Fractional Brownian motion: Theory and applications. (English) Zbl 0914.60019 ESAIM, Proc. 5, 75-86 (1998). 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. Reviewer: N.Renganathan (Annamalai Nagar) Cited in 22 Documents MSC: 60H05 Stochastic integrals Keywords:anticipating stochastic calculus; fractional Brownian motion; stochastic integral PDF BibTeX XML Cite \textit{L. Decreusefond} and \textit{A. S. Üstünel}, ESAIM, Proc. 5, 75--86 (1998; Zbl 0914.60019) Full Text: DOI