Affine Volterra processes
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Publication:2286463
DOI10.1214/19-AAP1477zbMath1441.60052arXiv1708.08796OpenAlexW2980737890MaRDI QIDQ2286463
Martin Larsson, Sergio Pulido, Eduardo Abi Jaber
Publication date: 22 January 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.08796
Fractional processes, including fractional Brownian motion (60G22) Derivative securities (option pricing, hedging, etc.) (91G20) Volterra integral equations (45D05) Stochastic integral equations (60H20)
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