Fractional Brownian motion with two-variable Hurst exponent (Q2223840): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(One intermediate revision by one other user not shown)
Property / DOI
 
Property / DOI: 10.1016/j.cam.2020.113262 / rank
Normal rank
 
Property / cites work
 
Property / cites work: Q4367302 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Brownian Motions, Fractional Noises and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic Calculus for Fractional Brownian Motion and Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mixed fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the mixed fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: When is a linear combination of independent fBm's equivalent to a single fBm? / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3551324 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations with fractal noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long memory in continuous-time stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimation and pricing under long-memory stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Piecewise fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Elliptic Gaussian random processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Local time and Tanaka formula for a Volterra-type multifractional Gaussian process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Path properties of multifractal Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic integration with respect to Volterra processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractional Brownian motion with variable Hurst parameter: definition and properties / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4115333 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Gaussian Hilbert Spaces / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5822308 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some zero-one laws for Gaussian processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations. An introduction with applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: The pricing of credit default swaps under a generalized mixed fractional Brownian motion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Numerically pricing American options under the generalized mixed fractional Brownian motion model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5689624 / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1016/J.CAM.2020.113262 / rank
 
Normal rank

Latest revision as of 13:42, 17 December 2024

scientific article
Language Label Description Also known as
English
Fractional Brownian motion with two-variable Hurst exponent
scientific article

    Statements

    Fractional Brownian motion with two-variable Hurst exponent (English)
    0 references
    0 references
    3 February 2021
    0 references
    fractional Brownian motion
    0 references
    Gaussian processes
    0 references
    variable Hurst parameter
    0 references
    stochastic process
    0 references
    financial modeling
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers