Pages that link to "Item:Q3043488"
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The following pages link to FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE (Q3043488):
Displaying 50 items.
- Fractional Brownian motion and sheet as white noise functionals (Q2508642) (← links)
- A nonrandom variational approach to stochastic linear quadratic Gaussian optimization involving fractional noises (FLQG) (Q2574323) (← links)
- Statistical aspects of the fractional stochastic calculus (Q2642746) (← links)
- Density estimates for the solutions of backward stochastic differential equations driven by Gaussian processes (Q2660165) (← links)
- Lattice-based model for pricing contingent claims under mixed fractional Brownian motion (Q2684130) (← links)
- From Market Data to Agent-Based Models and Stochastic Differential Equations (Q2832858) (← links)
- Integral Representation with Adapted Continuous Integrand with Respect to Fractional Brownian Motion (Q2937459) (← links)
- Local times for multifractional Brownian motion in higher dimensions: A white noise approach (Q2956589) (← links)
- A characterization of operators on functionals of discrete-time normal martingales (Q2974044) (← links)
- ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC (Q3023915) (← links)
- LONG MEMORY STOCHASTIC VOLATILITY IN OPTION PRICING (Q3023923) (← links)
- White Noise Generalization of the Clark-Ocone Formula Under Change of Measure (Q3068105) (← links)
- General Fractional Multiparameter White Noise Theory and Stochastic Partial Differential Equations (Q3157880) (← links)
- Self-intersection local times for multifractional Brownian motion in higher dimensions: A white noise approach (Q3298329) (← links)
- Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics (Q3426320) (← links)
- A Delayed Black and Scholes Formula (Q3444689) (← links)
- FORWARD INTEGRALS AND AN ITÔ FORMULA FOR FRACTIONAL BROWNIAN MOTION (Q3519916) (← links)
- Solving SPDEs driven by colored noise: A chaos approach (Q3533903) (← links)
- Stochastic Differential Equations Driven by Fractional Brownian Motion and Standard Brownian Motion (Q3535734) (← links)
- On Generalized Regular Stochastic Differential Delay Systems with Time Invariant Coefficients (Q3535735) (← links)
- Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst index<i>H</i>>1/2 (Q3541200) (← links)
- Wick–Itô formula for regular processes and applications to the Black and Scholes formula (Q3541205) (← links)
- The rate of convergence for Euler approximations of solutions of stochastic differential equations driven by fractional Brownian motion (Q3541206) (← links)
- DYNAMIC MEAN-VARIANCE OPTIMIZATION UNDER CLASSICAL RISK MODEL WITH FRACTIONAL BROWNIAN MOTION PERTURBATION (Q3606614) (← links)
- Stochastic Control System for Mortality Benefits (Q3611812) (← links)
- <i>Q</i>-Fractional Brownian Motion in Infinite Dimensions with Application to Fractional Black–Scholes Market (Q3611813) (← links)
- Controllability of non-linear impulsive stochastic systems (Q3632920) (← links)
- Stochastic integrals driven by fractional Brownian motion and arbitrage: a tale of two integrals (Q3645196) (← links)
- OPTIMAL CONSUMPTION AND PORTFOLIO IN A BLACK–SCHOLES MARKET DRIVEN BY FRACTIONAL BROWNIAN MOTION (Q4467379) (← links)
- Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
- Backward stochastic variational inequalities driven by multidimensional fractional Brownian motion (Q4554818) (← links)
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (Q4580032) (← links)
- (Q4583455) (← links)
- Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse (Q4585680) (← links)
- The Stochastic LQR Optimal Control with Fractional Brownian Motion (Q4607777) (← links)
- Perpetual American options with fractional Brownian motion (Q4610216) (← links)
- Dynamical pricing of weather derivatives (Q4646781) (← links)
- THE RESTRICTION OF THE FRACTIONAL ITÔ INTEGRAL TO ADAPTED INTEGRANDS IS INJECTIVE (Q4662169) (← links)
- Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets (Q5042125) (← links)
- A NEW STOPPING PROBLEM AND THE CRITICAL EXERCISE PRICE FOR AMERICAN FRACTIONAL LOOKBACK OPTION IN A SPECIAL MIXED JUMP-DIFFUSION MODEL (Q5050867) (← links)
- A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) (Q5078109) (← links)
- Spectral integrals of Bernoulli generalized functionals (Q5080069) (← links)
- Asymptotic analysis for hedging errors in models with respect to geometric fractional Brownian motion (Q5086430) (← links)
- Itô type stochastic differential equations driven by fractional Brownian motions of Hurst parameter (Q5086444) (← links)
- Sample path large deviations for the multiplicative Poisson shot noise process with compensation (Q5086636) (← links)
- T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion (Q5086858) (← links)
- (Q5120583) (← links)
- Mean-field optimal control problem of SDDES driven by fractional Brownian Motion (Q5122743) (← links)
- Parameter identification for the discretely observed geometric fractional Brownian motion (Q5220717) (← links)
- PRICING DERIVATIVES IN HERMITE MARKETS (Q5242955) (← links)