scientific article

zbMath1164.60378MaRDI QIDQ3607390

Yuriy Vasil'ovich Kozachenko, Yuliya S. Mishura

Publication date: 28 February 2009

Full work available at URL: http://www.ams.org/tpms/2007-75-00/S0094-9000-08-00713-8/home.html

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

zbMATH Keywords

solutions of stochastic differential equationsfractional Brownian motion with Hurst index \(H<1/2\)maximal upper boundsmoments of stochastic integrals with respect to fractional Brownian motion

Mathematics Subject Classification ID

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

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Convergence of the maximum probability of success in the problem of quantile hedging for a model of an asset price process with long-range dependence

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