Fractional geometric mean-reversion processes (Q534760)

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Fractional geometric mean-reversion processes
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    Statements

    title
    Fractional geometric mean-reversion processes (English)
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    author
    Nguyen Tien Dung
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    publication date
    10 May 2011
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    zbMATH Keywords
    fractional Brownian motion
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    stochastic integrals
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    semimartingale
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    Malliavin calculus
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    Identifiers

    Mathematics Subject Classification ID
    60G22
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    60H07
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    60H05
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    zbMATH DE Number
    5886422
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