Fractional geometric mean-reversion processes

DOI10.1016/j.jmaa.2011.03.016zbMath1215.60030OpenAlexW1970327504MaRDI QIDQ534760

Nguyen Tien Dung

Publication date: 10 May 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.03.016

zbMATH Keywords

fractional Brownian motionMalliavin calculusstochastic integralssemimartingale

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (5)

Fractional randomness ⋮ Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting ⋮ Fractional stochastic differential equations with applications to finance ⋮ On local linearization method for stochastic differential equations driven by fractional Brownian motion ⋮ On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process

Cites Work

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• An approximate approach to fractional stochastic integration and its applications
• A class of fractional stochastic differential equations
• Fractal Langevin equation
• Stochastic integration with respect to fractional Brownian motion
• An approximate approach to fractional analysis for finance
• Long memory in continuous-time stochastic volatility models
• The Malliavin Calculus and Related Topics

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