Arbitrage with Fractional Brownian Motion

DOI10.1111/1467-9965.00025zbMath0884.90045OpenAlexW1978094758MaRDI QIDQ4372054

L. C. G. Rogers

Publication date: 5 April 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00025

zbMATH Keywords

fractional Brownian motionBrownian motionequivalent martingale measurelong-range dependencearbitrage

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Economic growth models (91B62) Signal detection and filtering (aspects of stochastic processes) (60G35) Financial applications of other theories (91G80)

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