Conditional Distributions of Processes Related to Fractional Brownian Motion (Q4918570)
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scientific article; zbMATH DE number 6157736
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Conditional Distributions of Processes Related to Fractional Brownian Motion |
scientific article; zbMATH DE number 6157736 |
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Conditional Distributions of Processes Related to Fractional Brownian Motion (English)
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25 April 2013
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affine process
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conditional characteristic function
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fractional affine process
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short rate
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macroeconomic variables process
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fractional Brownian motion
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long-range dependence
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interest rate
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zero-coupon bond
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fractional vasicek model
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prediction
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