Fractional geometric mean-reversion processes (Q534760): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60G22 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H07 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 60H05 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 5886422 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
fractional Brownian motion | |||
| Property / zbMATH Keywords: fractional Brownian motion / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
stochastic integrals | |||
| Property / zbMATH Keywords: stochastic integrals / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
semimartingale | |||
| Property / zbMATH Keywords: semimartingale / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
Malliavin calculus | |||
| Property / zbMATH Keywords: Malliavin calculus / rank | |||
Normal rank | |||
Revision as of 08:45, 1 July 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fractional geometric mean-reversion processes |
scientific article |
Statements
Fractional geometric mean-reversion processes (English)
0 references
10 May 2011
0 references
fractional Brownian motion
0 references
stochastic integrals
0 references
semimartingale
0 references
Malliavin calculus
0 references
