Fractional geometric mean-reversion processes

DOI10.1016/J.JMAA.2011.03.016zbMATH Open1215.60030OpenAlexW1970327504MaRDI QIDQ534760FDOQ534760

Nguyen Tien Dung

Publication date: 10 May 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.03.016

zbMATH Keywords

Malliavin calculusfractional Brownian motionsemimartingalestochastic integrals

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Cites Work

• The Malliavin Calculus and Related Topics
• Long memory in continuous-time stochastic volatility models
• Fractal Langevin equation
• An approximate approach to fractional analysis for finance
• Stochastic integration with respect to fractional Brownian motion
• An approximate approach to fractional stochastic integration and its applications
• A class of fractional stochastic differential equations
• Title not available (Why is that?)
• Title not available (Why is that?)

Cited In (5)

• Fractional randomness
• Fractional stochastic differential equations with applications to finance
• On local linearization method for stochastic differential equations driven by fractional Brownian motion
• On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
• Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting

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