<i>Q</i>-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market (Q3611813): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1080/07362990802565084 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1975457217 / rank | |||
Normal rank |
Revision as of 03:05, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | <i>Q</i>-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market |
scientific article |
Statements
<i>Q</i>-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market (English)
0 references
3 March 2009
0 references
Clark-Haussmann-Ocone theorem
0 references
fractional white noise calculus
0 references
Girsanov's formula
0 references
infinite-dimensional Black-Scholes market
0 references
\(Q\)-fractional Brownian motion in infinite dimensions
0 references
\(Q\)-fractional hida spaces
0 references
quasi-conditional expectation
0 references