On the mixed fractional Brownian motion (Q937469)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the mixed fractional Brownian motion |
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On the mixed fractional Brownian motion (English)
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15 August 2008
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Summary: The mixed fractional Brownian motion is used in mathematical finance, in the modelling of some arbitrage-free and complete markets. In this paper, we present some stochastic properties and characteristics of this process, and we study the \(\alpha \)-differentiability of its sample paths.
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mathematical finance
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arbitrage-free and complete markets
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\(\alpha \)-differentiability
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