Weighted Local Time for Fractional Brownian Motion and Applications to Finance (Q4678743): Difference between revisions

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+Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
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+Q5680823
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+Tanaka formula for the fractional Brownian motion.
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+Itô's formula with respect to fractional Brownian motion and its application
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+Stochastic Calculus for Fractional Brownian Motion I. Theory
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+CHAOS EXPANSION OF LOCAL TIME OF FRACTIONAL BROWNIAN MOTIONS
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+Fractional Brownian Motions, Fractional Noises and Applications
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+Q4226355
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+A new class of nearly self-financing strategies
@@ Property / cites work: A new class of nearly self-financing strategies / rank @@
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