HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS
type: Item
instance of: scholarly article
title: HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS
zbMATH Open document ID: 1488.60095
DOI: 10.1142/S0219024919500249
author: Matthieu Garcin
published in: International Journal of Theoretical and Applied Finance
publication date: 2019-09-09T00:00:00Z
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60G10
Mathematics Subject Classification ID: 60G18
Mathematics Subject Classification ID: 62M09
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 7102646
zbMATH Keywords: foreign exchange rates
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: Hurst exponent
zbMATH Keywords: Lamperti transform
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: stationary process
MaRDI profile type: MaRDI publication profile
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full work available at URL: s0219024919500249
OpenAlex ID: W2913390158
description: scientific article; zbMATH DE number 7102646