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1、YuliyaS.MishuraStochasticCalculusforFractionalBrownianMotionandRelatedProcessesABCYuliyaS.MishuraDepartmentofMechanicsandMathematicsKyivNationalTarasShevchenkoUniversity64Volodymyrska01033KyivUkrainemyus@mail.univ.kiev.uaISBN978-3-540-75872-3e-ISBN978-3-540-75873-0DOI10.1
2、007/978-3-540-75873-0LectureNotesinMathematicsISSNprintedition:0075-8434ISSNelectronicedition:1617-9692LibraryofCongressControlNumber:2007939114MathematicsSubjectClassification(2000):60G15,60G44,60G60,60H05,60H07,60H10,60H40,91B24,91B28c2008Springer-VerlagBerlinHeidelberg
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5、demarks,etc.inthispublicationdoesnotimply,evenintheabsenceofaspecificstatement,thatsuchnamesareexemptfromtherelevantprotectivelawsandregulationsandthereforefreeforgeneraluse.Coverdesign:design&productionGmbH,HeidelbergPrintedonacid-freepaper987654321springer.comPrefaceFors
6、everaldecadesthesemimartingaleprocesseswerethebestmodelinor-dertoimplementmanyideas.Thestochasticcalculusforsemimartingalesandthegeneraltheoryofstochasticprocesses,whicharecloselyconnectedtothetheoryofstochasticintegrationandstochasticdifferentialequations,wereoriginatedby
7、N.Wiener(Wie23),P.L´evy(Le48),K.Itˆo(Itˆo42),(Itˆo44),(Itˆo51),A.N.Kolmogorov(Kol31),W.Feller(Fel36),J.L.Doob,M.Lo´eve,I.GikhmanandA.Skorohod(thelistofrelatedpapersandbooksisverylongandwedonotmentionithereinfull).Thoseideasweredevelopedfurtherbyseveralauthors,amongthemthe
8、reareK.Bichteler(Bi81),C.S.Chou,P.A.MeyerandC.Stricker(CMS80),K.L.ChungandR.J.Williams(ChW83),C.
