On the Linear Fractional Self-attracting Diffusion

Fractional Brownian Motions, Fractional Noises and Applications

Benoît B. Mandelbrot, John W. Van Ness · SIAM Review · 1968 · 7.7K citations

Natural Sciences, Economics, Mathematics +9

Stochastic Calculus for Fractional Brownian Motion I. Theory

Tyrone E. Duncan, Yaozhong Hu, B. Pasik-Duncan · SIAM Journal on Control and Optimization · 2000 · 574 citations

Engineering, Mathematics, Probability Theory +13

FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE

Yaozhong Hu, Bernt Øksendal · Infinite Dimensional Analysis Quantum Probability and Related Topics · 2003 · 473 citations · Full text

Engineering, Economics, Finance +17

A General Fractional White Noise Theory And Applications To Finance

Robert J. Elliott, John van der Hoek · Mathematical Finance · 2003 · 311 citations

Engineering, Economics, Finance +13

Stochastic integration with respect to fractional brownian motion

Philippe Carmona · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 2003 · 247 citations

Engineering, Mathematics, Probability Theory +14