Semimartingale approximation of fractional Brownian motion and its applications
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Publication:636573
DOI10.1016/j.camwa.2011.02.013zbMath1219.60056OpenAlexW1993798777MaRDI QIDQ636573
Publication date: 28 August 2011
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.camwa.2011.02.013
Fractional processes, including fractional Brownian motion (60G22) Generalizations of martingales (60G48) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Numerical solutions to stochastic differential and integral equations (65C30)
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