Fractional Brownian Motion and Rough Models - Barcelona GSE Summer Forum 2017

The fractional Brownian motion (fBm) is an extension of the classical Brownian motion that allows its disjoint increments to be correlated. Its earliest mention in literature was in 1940 (see Kolmogorov (1940)). It was given the name of "fractional Brownian motion" by Mandelbrot and van Ness (1968). The aim of this workshop is to invite top international researchers whose work is related to these recent papers to discuss both theoretical and applied aspects of these models.