Fractional Brownian motion with two-variable Hurst exponent

DOI10.1016/j.cam.2020.113262zbMath1466.60079OpenAlexW3095071386MaRDI QIDQ2223840

Yanyan Li

Publication date: 3 February 2021

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113262

zbMATH Keywords

fractional Brownian motionGaussian processesstochastic processfinancial modelingvariable Hurst parameter

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22)

Related Items (4)

AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS ⋮ Multi-mixed fractional Brownian motions and Ornstein-Uhlenbeck processes ⋮ Mixtures of higher-order fractional Brownian motions ⋮ Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift

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