Random variables as pathwise integrals with respect to fractional Brownian motion
From MaRDI portal
Publication:2444645
DOI10.1016/j.spa.2013.02.015zbMath1328.60131arXiv1111.1851MaRDI QIDQ2444645
Esko Valkeila, Georgiy M. Shevchenko, Yuliya S. Mishura
Publication date: 10 April 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1111.1851
fractional Brownian motion; generalized Lebesgue-Stieltjes integral; pathwise stochastic integral; divergence integral; fractional Black-Scholes model
60G15: Gaussian processes
60G22: Fractional processes, including fractional Brownian motion
91G80: Financial applications of other theories
60H05: Stochastic integrals
91G10: Portfolio theory
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