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Subject
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Analysis 1 Convergence in law 1 Fractional and multifractional Brownian motions 1 Gaussian process 1 Gaussian processes 1 Hull & White model 1 Karhunen-Loève 1 Mathematical analysis 1 Pathwise integral 1 S-transform 1 Skorohod integral 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1 Time series analysis 1 Volatility 1 Volatilität 1 White noise theory 1 Wick-Itô integral 1 Wick–Itô integral 1 Zeitreihenanalyse 1 fractional Brownian motion 1 functional quantization 1 multifractional Brownian motion 1 stochastic differential equations 1 vector quantization 1 white noise theory 1
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Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Lebovits, Joachim 2 Lévy Véhel, Jacques 2 Corlay, Sylvain 1 Herbin, Erick 1
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Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Stochastic Processes and their Applications 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Stochastic integration with respect to multifractional Brownian motion via tangent fractional Brownian motions
Lebovits, Joachim; Lévy Véhel, Jacques; Herbin, Erick - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 678-708
Stochastic integration w.r.t. fractional Brownian motion (fBm) has raised strong interest in recent years, motivated in particular by applications in finance and Internet traffic modelling. Since fBm is not a semi-martingale, stochastic integration requires specific developments. Multifractional...
Persistent link: https://www.econbiz.de/10011064949
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Multifractional stochastic volatility models
Corlay, Sylvain; Lebovits, Joachim; Lévy Véhel, Jacques - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 364-402
Persistent link: https://www.econbiz.de/10010357370
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