Semimartingale approximation of fractional Brownian motion and its applications
DOI10.1016/J.CAMWA.2011.02.013zbMATH Open1219.60056OpenAlexW1993798777MaRDI QIDQ636573FDOQ636573
Authors: Nguyen Tien Dung 
Publication date: 28 August 2011
Published in: Computers & Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2011.02.013
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Fractional processes, including fractional Brownian motion (60G22) Generalizations of martingales (60G48) Stochastic integrals (60H05) Numerical solutions to stochastic differential and integral equations (65C30)
Cites Work
- Fractional Brownian Motions, Fractional Noises and Applications
- Stochastic differential equations. An introduction with applications.
- Stochastic calculus for fractional Brownian motion and related processes.
- Integration with respect to fractal functions and stochastic calculus. I
- Title not available (Why is that?)
- Mixed fractional Brownian motion
- An approximate approach to fractional analysis for finance
- Title not available (Why is that?)
- Title not available (Why is that?)
- Intégrale stochastique pour le mouvement brownien fractionnaire
- A class of fractional stochastic differential equations
- A note on fractional Brownian motion
- Fubini theorem for anticipating stochastic integrals in Hilbert space
- Asymptotic properties of the fractional Brownian motion of Riemann-Liouville type
Cited In (16)
- On the approximation of Lévy driven Volterra processes and their integrals
- Computational Science - ICCS 2004
- On the approximate discrete KLT of fractional Brownian motion and applications
- Fractional stochastic differential equations with applications to finance
- A geometric Brownian motion model with compound Poisson process and fractional stochastic volatility
- Distance between the fractional Brownian motion and the space of adapted Gaussian martingales
- A note on fractional Brownian motion
- An approximate approach to fractional stochastic integration and its applications
- Approximation of fractional Brownian motion by martingales
- On the approximation of geometric fractional Brownian motion
- On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions
- Least squares estimations for approximate fractional vasicek model driven by a semimartingale
- A fractional Black-Scholes model with jumps
- Asset prices with investor protection and past information
- Is the approximation rate for European pay-offs in the Black-Scholes model always \(1/\sqrt n\)?
- Strong convergence analysis for Volterra integro-differential equations with fractional Brownian motions
This page was built for publication: Semimartingale approximation of fractional Brownian motion and its applications
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q636573)
