ESTIMATION OF GEOMETRIC FRACTIONAL BROWNIAN MOTION PERTURBED BY STOCHASTIC VOLATILITY MODEL

DOI10.17654/MS099020221zbMath1414.91431OpenAlexW2519966107MaRDI QIDQ2796368

Masnita Misiran, Mohammed Alhagyan, Zurni Omar

Publication date: 24 March 2016

Published in: Far East Journal of Mathematical Sciences (FJMS) (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/9517.htm

zbMATH Keywords

fractional Ornstein-Uhlenbeck processlong memory stochastic volatilitygeometric fractional Brownian motioninnovation algorithm

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Diffusion processes (60J60) Financial applications of other theories (91G80)

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