On the mixed fractional Brownian motion (Q937469)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On the mixed fractional Brownian motion |
scientific article; zbMATH DE number 5312397
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the mixed fractional Brownian motion |
scientific article; zbMATH DE number 5312397 |
Statements
On the mixed fractional Brownian motion (English)
0 references
15 August 2008
0 references
Summary: The mixed fractional Brownian motion is used in mathematical finance, in the modelling of some arbitrage-free and complete markets. In this paper, we present some stochastic properties and characteristics of this process, and we study the \(\alpha \)-differentiability of its sample paths.
0 references
mathematical finance
0 references
arbitrage-free and complete markets
0 references
\(\alpha \)-differentiability
0 references
