Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications

DOI10.1016/J.CAMWA.2018.01.024zbMath1415.60040arXiv1607.05375OpenAlexW2964268420MaRDI QIDQ1999688

Jia Yue, Nan-Jing Huang

Publication date: 27 June 2019

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.05375

zbMATH Keywords

stochastic partial differential equation\(\varepsilon\)-fractional Wishart processesfinancial volatility theoryfractional Wishart process

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Random matrices (probabilistic aspects) (60B20) Financial applications of other theories (91G80)

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