Pages that link to "Item:Q2485795"
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The following pages link to Fractional Brownian motion as a weak limit of Poisson shot noise processes -- with applications to finance (Q2485795):
Displaying 31 items.
- Tail behavior of Poisson shot noise processes under heavy-tailed shocks and actuarial applications (Q370897) (← links)
- Power law Pólya's urn and fractional Brownian motion (Q389275) (← links)
- A strong uniform approximation of fractional Brownian motion by means of transport processes (Q734645) (← links)
- Numerical scheme for stochastic differential equations driven by fractional Brownian motion with \(1/4 < H < 1/2\). (Q785391) (← links)
- Functional limit theorems for a new class of non-stationary shot noise processes (Q1688617) (← links)
- From random partitions to fractional Brownian sheets (Q1740530) (← links)
- Some long-range dependence processes arising from fluctuations of particle systems (Q1776822) (← links)
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes (Q1980850) (← links)
- \(L^p\) uniform random walk-type approximation for fractional Brownian motion with Hurst exponent \(0 < H < \frac{1}{2} \) (Q2064883) (← links)
- Shot noise, weak convergence and diffusion approximations (Q2077868) (← links)
- Exact uniform modulus of continuity and Chung's LIL for the generalized fractional Brownian motion (Q2100003) (← links)
- Path properties of a generalized fractional Brownian motion (Q2116490) (← links)
- Analytic approaches of the anomalous diffusion: a review (Q2213089) (← links)
- Existence and stability of square-mean S-asymptotically periodic solutions to a fractional stochastic diffusion equation with fractional Brownian motion (Q2222892) (← links)
- A functional limit theorem for random processes with immigration in the case of heavy tails (Q2360592) (← links)
- Generalized fractional Lévy processes with fractional Brownian motion limit (Q2786429) (← links)
- ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC (Q3023915) (← links)
- Parisian ruin of self-similar Gaussian risk processes (Q3449926) (← links)
- A SHOT NOISE MODEL FOR FINANCIAL ASSETS (Q3520395) (← links)
- Discrete approximation of stochastic integrals with respect to fractional Brownian motion of Hurst index<i>H</i>>1/2 (Q3541200) (← links)
- Prediction in a Poisson cluster model (Q3578669) (← links)
- Prediction in a Poisson cluster model with multiple cluster processes (Q4576757) (← links)
- Shot-Noise Processes in Finance (Q4609026) (← links)
- Perpetual American options with fractional Brownian motion (Q4610216) (← links)
- On local linearization method for stochastic differential equations driven by fractional Brownian motion (Q4964410) (← links)
- Shot noise processes with randomly delayed cluster arrivals and dependent noises in the large-intensity regime (Q5013251) (← links)
- Sample path large deviations for the multiplicative Poisson shot noise process with compensation (Q5086636) (← links)
- Functional Limit Theorems for Shot Noise Processes with Weakly Dependent Noises (Q5119414) (← links)
- Scaling limits for a random boxes model (Q5203956) (← links)
- On Scaling Limits of Power Law Shot-Noise Fields (Q5256321) (← links)
- Large deviations and long-time behavior of stochastic fluid queues with generalized fractional Brownian motion input (Q6089005) (← links)
