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Fractional Brownian motion, random walks and binary market models

โœ Scribed by Tommi Sottinen


Publisher
Springer-Verlag
Year
2001
Tongue
English
Weight
89 KB
Volume
5
Category
Article
ISSN
0949-2984

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Modelling and analysis of fractional Bro
โœ O. Magrรฉ; M. Guglielmi ๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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