Arbitrage in fractional Brownian motion models
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Publication:1424724
DOI10.1007/s007800300101zbMath1035.60036OpenAlexW1995666097MaRDI QIDQ1424724
Publication date: 16 March 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s007800300101
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Microeconomic theory (price theory and economic markets) (91B24) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Portfolio theory (91G10)
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