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Publication:3441312
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zbMath1118.60049MaRDI QIDQ3441312

Taras O. Androshchuk

Publication date: 29 May 2007

Full work available at URL: http://www.ams.org/tpms/2006-73-00/S0094-9000-07-00678-3/home.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

fractional Brownian motionstochastic integralconvergence of integrals


Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05)


Related Items (5)

A bound for the distance between fractional Brownian motion and the space of Gaussian martingales on an interval ⋮ A fractional version of the Cox–Ingersoll–Ross interest rate model and pricing double barrier option with Hurst index H∈(23,1) ⋮ Approximation of a Wiener process by integrals with respect to the fractional Brownian motion of power functions of a given exponent ⋮ Semimartingale approximation of fractional Brownian motion and its applications ⋮ An approximate approach to fractional stochastic integration and its applications







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