Ilchenko S. Stochastic Analysis of Fractional Brownian Fields

Українська версія

Thesis for the degree of Candidate of Sciences (CSc)

State registration number

0406U001280

Thesis Registration Form

0406U001280.pdf

Applicant for

Specialization

  • 01.01.05 - Теорія ймовірностей і математична статистика

27-03-2006

Specialized Academic Board

Д26.001.37

Essay

The thesis is devoted to construction of stochastic analysis for two-parameter fractional Brownian fields. Integration with respect to such fields is introduced . With the help of generalized Lebesgue-Stieltjes integrals we construct integrals of stochastic Holder functions We discover Ito formula for of fractional Brownian fields. We prove existence and uniqueness of solution to stochastic differential equation involving fractional Brownian field.

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Files

Diser.pdf

aref.doc

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