Fractional randomness and the Brownian bridge

DOI10.1016/J.PHYSA.2018.02.097MaRDI QIDQ2149284zbMATH OpenOpenAlexFDO

Authors Charles S. Tapiero, Pierre Vallois

Publication date 28 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2018.02.097

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
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• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• A General Fractional White Noise Theory And Applications To Finance
• A note on Wick products and the fractional Black-Scholes model
• Arbitrage in fractional Brownian motion models
• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional randomness
• Implied fractional hazard rates and default risk distributions
• On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic differential equations with fractional Brownian motion input
• Table of some basic fractional calculus formulae derived from a modified Riemann-Liouville derivative for non-differentiable functions
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics

Cited in

(2)

• Fractional randomness
• Randomness and fractional stable distributions

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