Fractional Brownian Motion

Papers:

• Bender, Sottinen, Valkeila -- Arbitrage with Fractional Brownian Motion (2006)

• Dieker, Mandjes -- On Spectral Simulation of Fractional Brownian Motion (2003)

• Elliott and Hoek -- A General Fractional White Noise Theory and Applications to Finance (2003)

• Herbian and Merzbach -- The Muliparameter Fractional Brownian Motion

• Mandelbrot -- Fractional Brownian Motion, Fractal Noise, and Applications

• Mandelbrot and Van Ness -- Fractional Brownian Motion, Fractal Noise, and Applications

• Mielniczuk and Wojdyllo (2007) Estimation of Hurst Exponent Revisited

• Sottinen -- Fractional Brownian Motion as a Model in Finance (slides)

• Craigmile -- Simulating a class of stationary Gaussian Processes Using the Davies-Harte Algorithm with Applications to Long Memory Processes (2000)

Books and Theses:

• Mishura -- Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)

• Dieker -- Simulation of fractional Brownian Motion (2004 Thesis)

Other:

• http://sage.math.washington.edu/home/simuw/simuw08/refs/fractal/