Fractional geometric mean-reversion processes (Q534760): Difference between revisions

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+G22
@@ Property / Mathematics Subject Classification ID: 60G22 / rank @@
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+H07
@@ Property / Mathematics Subject Classification ID: 60H07 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
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@@ Property / Mathematics Subject Classification ID: 60H05 / rank @@
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+5886422
@@ Property / zbMATH DE Number: 5886422 / rank @@
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@@ Property / zbMATH Keywords @@
+fractional Brownian motion
@@ Property / zbMATH Keywords: fractional Brownian motion / rank @@
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@@ Property / zbMATH Keywords @@
+stochastic integrals
@@ Property / zbMATH Keywords: stochastic integrals / rank @@
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@@ Property / zbMATH Keywords @@
+semimartingale
@@ Property / zbMATH Keywords: semimartingale / rank @@
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@@ Property / zbMATH Keywords @@
+Malliavin calculus
@@ Property / zbMATH Keywords: Malliavin calculus / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmaa.2011.03.016
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+W1970327504
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@@ Property / cites work @@
+Q4947463
@@ Property / cites work: Q4947463 / rank @@
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@@ Property / cites work @@
+Stochastic integration with respect to fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Long memory in continuous-time stochastic volatility models
+Normal rank
@@ Property / cites work @@
+A class of fractional stochastic differential equations
+Normal rank
@@ Property / cites work @@
+An approximate approach to fractional stochastic integration and its applications
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@@ Property / cites work @@
+Q5653395
@@ Property / cites work: Q5653395 / rank @@
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@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
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@@ Property / cites work @@
+Fractal Langevin equation
@@ Property / cites work: Fractal Langevin equation / rank @@
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@@ Property / cites work @@
+An approximate approach to fractional analysis for finance
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:534760