An approximate approach to fractional stochastic integration and its applications

DOI10.1214/08-BJPS013zbMath1298.60060OpenAlexW2008895858MaRDI QIDQ467887

Nguyen Tien Dung, Tran Hung Thao

Publication date: 5 November 2014

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bjps/1262271215

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items (5)

On the calibration of fractional two-factor stochastic volatility model with non-Lipschitz diffusions ⋮ Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion ⋮ Shadow price approximation for the fractional Black Scholes model ⋮ Fractional geometric mean-reversion processes ⋮ Fractional stochastic differential equations with applications to finance

Cites Work

• Integration with respect to fractal functions and stochastic calculus. I
• On fractional Brownian processes
• Stochastic calculus with respect to fractional Brownian motion with Hurst parameter lesser than 1/2
• Fractal Langevin equation
• An approximate approach to fractional analysis for finance
• Long memory in continuous-time stochastic volatility models
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Fractional Brownian Motions, Fractional Noises and Applications
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