𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Arbitrage in fractional Brownian motion models

✍ Scribed by Patrick Cheridito


Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
253 KB
Volume
7
Category
Article
ISSN
0949-2984

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Fractal (fractional) Brownian motion
✍ Winston C. Chow πŸ“‚ Article πŸ“… 2011 πŸ› Wiley (John Wiley & Sons) 🌐 English βš– 221 KB

## Abstract Fractal Brownian motion, also called fractional Brownian motion (fBm), is a class of stochastic processes characterized by a single parameter called the Hurst parameter, which is a real number between zero and one. fBm becomes ordinary standard Brownian motion when the parameter has the

Fractional Brownian motion via fractiona
✍ Tomasz Bojdecki; Luis G. Gorostiza πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 61 KB

A new and short proof of existence of the fractional Brownian ÿeld with exponent =2; ∈ (0; 2], is given in terms of the fractional power of the Laplacian.

Modelling and analysis of fractional Bro
✍ O. MagrΓ©; M. Guglielmi πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 544 KB

This paper deals with the study of fractional Brownian motion (tam) and fractional Brownian noises. First. we study the Barnes and Allan model, which is very close to the (tbm). Then, we propose an infinite dimension state model, where each state is the solution of a first order differential equatio