Q-Fractional Brownian motion in infinite dimensions with application to fractional Black-Scholes Market
| Data(s) |
2009
|
|---|---|
| Identificador | |
| Publicador |
Taylor & Francis Inc. |
| Relação |
DOI:10.1080/07362990802565084 Grecksch, W, Roth, Christian, & Anh, Vo (2009) Q-Fractional Brownian motion in infinite dimensions with application to fractional Black-Scholes Market. Stochastic Analysis and Applications, 27(1), pp. 149-175. |
| Fonte |
Faculty of Science and Technology |
| Palavras-Chave | #010406 Stochastic Analysis and Modelling #Clark-Haussmann-Ocone Theorem, Fractional White Noise Calculus, Girsanov's Formula, Infinite-dimensional Black-Scholes Market, Q-fractional Brownian Motion in Infinite Dimensions, Q-Fractional Hida Spaces, Quasi-Conditional Expectation |
| Tipo |
Journal Article |
