Fractional geometric mean-reversion processes

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:380

Article

Nguyen Tien Dung

关键词: Fractional Brownian motion;    Stochastic integrals;    Semimartingale;    Malliavin calculus;   

DOI  :  10.1016/j.jmaa.2011.03.016

来源: Elsevier

【 摘 要 】

We use a method developed in Carmona et al. (2003) [2] to study the fractional geometric mean-reversion processes. Our obtained results hold for any H is an element of (1/4, 1). (C) 2011 Elsevier Inc. All rights reserved.

【 授权许可】

Free