Fractional Lévy processes as a result of compact interval integral transformation (Q3114572)
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scientific article; zbMATH DE number 6007152
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| English | Fractional Lévy processes as a result of compact interval integral transformation |
scientific article; zbMATH DE number 6007152 |
Statements
Fractional Lévy Processes as a Result of Compact Interval Integral Transformation (English)
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19 February 2012
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fractional Lévy process
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integral representation of fractional Brownian motion
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Mandelbrot-Van-Ness transformation
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Molchan-Golosov transformation
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long range dependence
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Wiener integration
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arbitrage free model
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0.8307091593742371
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0.8288218379020691
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0.8051673173904419
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0.8027639985084534
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0.7864621877670288
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