A fractional Hull-White model
From MaRDI portal
Publication:817076
zbMath1089.60042MaRDI QIDQ817076
Publication date: 7 March 2006
Published in: Vietnam Journal of Mathematics (Search for Journal in Brave)
Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (2)
T-stability of the Euler method for impulsive stochastic differential equations driven by fractional Brownian motion ⋮ Least squares estimations for approximate fractional vasicek model driven by a semimartingale
This page was built for publication: A fractional Hull-White model
