The Absence of Arbitrage Property in Mixed Fractional Bownian Motion Setting

DOI10.21915/BIMAS.2021104zbMath1475.60070MaRDI QIDQ5004101

Kandouci Abdeldjebbar, Hennoune Halima

Publication date: 30 July 2021

Published in: Bulletin of the Institute of Mathematics Academia Sinica NEW SERIES (Search for Journal in Brave)

zbMATH Keywords

stochastic integralmixed fractional Brownian motionconditional full support

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Financial applications of other theories (91G80) Continuity and singularity of induced measures (60G30)

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