Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations (Q939363): Difference between revisions

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English	Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations	scientific article

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instance of

scholarly article

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title

Stock exchange fractional dynamics defined as fractional exponential growth driven by (usual) Gaussian white noise. Application to fractional Black-Scholes equations (English)

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published in

Insurance Mathematics \& Economics

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publication date

22 August 2008

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zbMATH Keywords

fractional Gaussian noises

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fractional stochastic differential equation

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fractional exponential growth

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fractional Brownian motion

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path probability density

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fractional Black-Scholes equation

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author

Guy Jumaric

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2007.03.001

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cites work

The Pricing of Options and Corporate Liabilities

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Stochastic analysis of the fractional Brownian motion

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Q5551649

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Stochastic Calculus for Fractional Brownian Motion I. Theory

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FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE

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On stochastic differential equations

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Stochastic differential equations with fractional Brownian motion input

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On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)

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On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion

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Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence

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Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results

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New stochastic fractional models for Malthusian growth, the Poissonian birth process and optimal management of populations

0 references

Path integral for the probability of the trajectories generated by fractional dynamics subject to Gaussian white noise

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Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions

0 references

Local Fractional Fokker-Planck Equation

0 references

Fractional Brownian Motions, Fractional Noises and Applications

0 references

A class of micropulses and antipersistent fractional Brownian motion

0 references

Alternative micropulses and fractional Brownian motion

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Taylor’s Series Generalized for Fractional Derivatives and Applications

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A New Representation for Stochastic Integrals and Equations

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Identifiers

zbMATH Open document ID

1141.91455

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Mathematics Subject Classification ID

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10.1016/J.INSMATHECO.2007.03.001

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Sitelinks

Mathematics(1 entry)

mardi Publication:939363

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@@ Property / author: Guy Jumaric / rank @@
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+Guy Jumaric
@@ Property / author: Guy Jumaric / rank @@
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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic analysis of the fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Q5551649
@@ Property / cites work: Q5551649 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Calculus for Fractional Brownian Motion I. Theory
+Normal rank
@@ Property / cites work @@
+FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
+Normal rank
@@ Property / cites work @@
+On stochastic differential equations
@@ Property / cites work: On stochastic differential equations / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations with fractional Brownian motion input
+Normal rank
@@ Property / cites work @@
+On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
+Normal rank
@@ Property / cites work @@
+On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Merton's model of optimal portfolio in a Black-Scholes market driven by a fractional Brownian motion with short-range dependence
+Normal rank
@@ Property / cites work @@
+Modified Riemann-Liouville derivative and fractional Taylor series of nondifferentiable. functions. Further results
+Normal rank
@@ Property / cites work @@
+New stochastic fractional models for Malthusian growth, the Poissonian birth process and optimal management of populations
+Normal rank
@@ Property / cites work @@
+Path integral for the probability of the trajectories generated by fractional dynamics subject to Gaussian white noise
+Normal rank
@@ Property / cites work @@
+Lagrangian mechanics of fractional order, Hamilton-Jacobi fractional PDE and Taylor's series of nondifferentiable functions
+Normal rank
@@ Property / cites work @@
+Local Fractional Fokker-Planck Equation
@@ Property / cites work: Local Fractional Fokker-Planck Equation / rank @@
+Normal rank
@@ Property / cites work @@
+Fractional Brownian Motions, Fractional Noises and Applications
+Normal rank
@@ Property / cites work @@
+A class of micropulses and antipersistent fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Alternative micropulses and fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Taylor’s Series Generalized for Fractional Derivatives and Applications
+Normal rank
@@ Property / cites work @@
+A New Representation for Stochastic Integrals and Equations
+Normal rank
@@ Property / DOI @@
+.1016/J.INSMATHECO.2007.03.001
@@ Property / DOI: 10.1016/J.INSMATHECO.2007.03.001 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:939363