Fractional geometric mean-reversion processes

DOI10.1016/J.JMAA.2011.03.016MaRDI QIDQ534760zbMATH OpenOpenAlexFDO

Authors Nguyen Tien Dung

Publication date 10 May 2011

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2011.03.016

zbMATH Keywords

Malliavin calculusfractional Brownian motionsemimartingalestochastic integrals

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 1433619 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• A class of fractional stochastic differential equations
• An approximate approach to fractional analysis for finance
• An approximate approach to fractional stochastic integration and its applications
• Fractal Langevin equation
• Long memory in continuous-time stochastic volatility models
• Stochastic integration with respect to fractional Brownian motion
• The Malliavin Calculus and Related Topics

Cited in

(6)

• Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting
• Fractional randomness
• On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
• On local linearization method for stochastic differential equations driven by fractional Brownian motion
• Fractional stochastic differential equations with applications to finance
• On the non-equilibrium density of geometric mean reversion

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