Pages that link to "Item:Q3043488"
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The following pages link to FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (Q3043488):
Displaying 50 items.
- Stochastic averaging for slow-fast dynamical systems with fractional Brownian motion (Q258312) (← links)
- A multivariate stochastic unit root model with an application to derivative pricing (Q341897) (← links)
- Solutions to BSDEs driven by both standard and fractional Brownian motions (Q350757) (← links)
- Asymptotic properties for multipower variation of semimartingales and Gaussian integral processes with jumps (Q389251) (← links)
- On the Tanaka formula for the derivative of self-intersection local time of fractional Brownian motion (Q404600) (← links)
- Optimal space-time adaptive wavelet methods for degenerate parabolic PDEs (Q431301) (← links)
- Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus (Q453268) (← links)
- Central limit theorems for power variation of Gaussian integral processes with jumps (Q477150) (← links)
- Stochastic averaging principle for dynamical systems with fractional Brownian motion (Q478249) (← links)
- Strategic asset allocation under a fractional hidden Markov model (Q479173) (← links)
- Optimal tracking for bilinear stochastic system driven by fractional Brownian motions (Q488886) (← links)
- Characterization theorems for generalized functionals of discrete-time normal martingale (Q492581) (← links)
- Anticipative backward stochastic differential equations driven by fractional Brownian motion (Q504474) (← links)
- A general non-existence result for linear BSDEs driven by Gaussian processes (Q516011) (← links)
- Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
- Probability calculus of fractional order and fractional Taylor's series application to Fokker-Planck equation and information of non-random functions (Q600609) (← links)
- From Lagrangian mechanics fractal in space to space fractal Schrödinger's equation via fractional Taylor's series (Q602483) (← links)
- Fractional multiple birth-death processes with birth probabilities \(\lambda _i(\Delta t)^\alpha +o((\Delta t)^\alpha)\) (Q621931) (← links)
- Fractional Fokker-Planck equation and Black-Scholes formula in composite-diffusive regime (Q664561) (← links)
- On discrete time hedging errors in a fractional Black-Scholes model (Q681037) (← links)
- Taylor schemes for rough differential equations and fractional diffusions (Q727475) (← links)
- Backward SDEs driven by Gaussian processes (Q740188) (← links)
- Optimal control of non-smooth fractional-order systems based on extended Caputo derivative (Q783440) (← links)
- Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence (Q817295) (← links)
- Nonparametric estimation of fractional option pricing model (Q826418) (← links)
- Viability for differential equations driven by fractional Brownian motion (Q833296) (← links)
- A set-indexed fractional Brownian motion (Q867075) (← links)
- Fractional Hamilton-Jacobi equation for the optimal control of nonrandom fractional dynamics with fractional cost function (Q874339) (← links)
- Convergence theorems for generalized functional sequences of discrete-time normal martingales (Q898211) (← links)
- On the linear fractional self-attracting diffusion (Q927251) (← links)
- \(p\)-variation of an integral functional driven by fractional Brownian motion (Q930091) (← links)
- Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations (Q939363) (← links)
- Fractional Liu process with application to finance (Q970062) (← links)
- Parameter estimation for fractional Ornstein-Uhlenbeck processes (Q973190) (← links)
- Derivation and solutions of some fractional Black-Scholes equations in coarse-grained space and time. Application to Merton's optimal portfolio (Q980221) (← links)
- An approach via fractional analysis to non-linearity induced by coarse-graining in space (Q1049470) (← links)
- Probabilistic models for vortex filaments based on fractional Brownian motion. (Q1433882) (← links)
- Arbitrage with fractional Gaussian processes (Q1620481) (← links)
- On the non-Lipschitz stochastic differential equations driven by fractional Brownian motion (Q1627970) (← links)
- Solutions to BSDEs driven by both fractional Brownian motions and the underlying standard Brownian motions (Q1637053) (← links)
- Pricing currency options in the mixed fractional Brownian motion (Q1673068) (← links)
- Maximum likelihood estimators of a long-memory process from discrete observations (Q1712209) (← links)
- Pricing currency option in a mixed fractional Brownian motion with jumps environment (Q1719257) (← links)
- Pricing of two kinds of power options under fractional Brownian motion, stochastic rate, and jump-diffusion models (Q1722471) (← links)
- The pricing of vulnerable options in a fractional Brownian motion environment (Q1723398) (← links)
- Pricing of equity indexed annuity under fractional Brownian motion model (Q1723974) (← links)
- An averaging principle for stochastic differential delay equations with fractional Brownian motion (Q1724206) (← links)
- Proactive hedging European call option pricing with linear position strategy (Q1727009) (← links)
- Valuation of the vulnerable option price based on mixed fractional Brownian motion (Q1727085) (← links)
- Solvability and stability for neutral stochastic integro-differential equations driven by fractional Brownian motion with impulses (Q1757033) (← links)