An approximate approach to fractional stochastic integration and its applications
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Publication:467887
DOI10.1214/08-BJPS013zbMath1298.60060OpenAlexW2008895858MaRDI QIDQ467887
Nguyen Tien Dung, Tran Hung Thao
Publication date: 5 November 2014
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bjps/1262271215
Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)
Related Items (5)
On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion ⋮ Shadow price approximation for the fractional Black Scholes model ⋮ Fractional geometric mean-reversion processes ⋮ Fractional stochastic differential equations with applications to finance
Cites Work
- Integration with respect to fractal functions and stochastic calculus. I
- On fractional Brownian processes
- Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
- Fractal Langevin equation
- An approximate approach to fractional analysis for finance
- Long memory in continuous-time stochastic volatility models
- Stochastic Calculus for Fractional Brownian Motion I. Theory
- Fractional Brownian Motions, Fractional Noises and Applications
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