Mixtures of higher-order fractional Brownian motions

DOI10.1080/03610926.2021.1986541OpenAlexW3203298495MaRDI QIDQ6107607

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Publication date: 3 July 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1986541

zbMATH Keywords

self-similaritylong-range dependencenon Markovian process\(n\) th order fractional Brownian motionsemimatingale property

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Generalizations of martingales (60G48) Self-similar stochastic processes (60G18)

Related Items (4)

AN IMEX-BASED APPROACH FOR THE PRICING OF EQUITY WARRANTS UNDER FRACTIONAL BROWNIAN MOTION MODELS ⋮ Cubature Method for Stochastic Volterra Integral Equations ⋮ Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift ⋮ On the Gaussian Volterra processes with power-type kernels

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