Fractional Brownian motion with two-variable Hurst exponent
type: Item
instance of: scholarly article
title: Fractional Brownian motion with two-variable Hurst exponent
zbMATH Open document ID: 1466.60079
author: Yanyan Li
published in: Journal of Computational and Applied Mathematics
publication date: 2021-02-03T00:00:00Z
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60G15
zbMATH DE Number: 7305203
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: Gaussian processes
zbMATH Keywords: variable Hurst parameter
zbMATH Keywords: stochastic process
zbMATH Keywords: financial modeling
MaRDI profile type: Publication
full work available at URL: j.cam.2020.113262
OpenAlex ID: W3095071386
cites work: Q4367302
cites work: Fractional Brownian Motions, Fractional Noises and Applications
cites work: Stochastic Calculus for Fractional Brownian Motion and Applications
cites work: Mixed fractional Brownian motion
cites work: On the mixed fractional Brownian motion
cites work: When is a linear combination of independent fBm's equivalent to a single fBm?
cites work: Q3551324
cites work: Stochastic differential equations with fractal noise
cites work: Long memory in continuous-time stochastic volatility models
cites work: Estimation and pricing under long-memory stochastic volatility
cites work: Piecewise fractional Brownian motion
cites work: Elliptic Gaussian random processes
cites work: Local time and Tanaka formula for a Volterra-type multifractional Gaussian process
cites work: Path properties of multifractal Brownian motion
cites work: Stochastic integration with respect to Volterra processes
cites work: Fractional Brownian motion with variable Hurst parameter: definition and properties
cites work: Q4115333
cites work: Gaussian Hilbert Spaces
cites work: Q5822308
cites work: Some zero-one laws for Gaussian processes
cites work: Stochastic differential equations. An introduction with applications.
cites work: The pricing of credit default swaps under a generalized mixed fractional Brownian motion
cites work: Numerically pricing American options under the generalized mixed fractional Brownian motion model
cites work: Exact maximum likelihood estimators for drift fractional Brownian motion at discrete observa\-tion
cites work: Q5689624
DOI: 10.1016/J.CAM.2020.113262
description: scientific article