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How rich is the class of multifractional Brownian motions? · Study

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ArticleHow rich is the class of multifractional Brownian motions?

Stilian Stoev2005

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Articlebronze2005

How rich is the class of multifractional Brownian motions?

Stilian Stoev · Murad S. Taqqu

98 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Fractional Differential Equations Solutions Complex Systems and Time Series Analysis

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2003Theory and applications of long-range dependence 2000Integration questions related to fractional Brownian motion

Cited by

2009Cross-correlation of long-range correlated series 2011Integral representations and properties of operator fractional Brownian motions 2013MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS 2011Identification of the Multivariate Fractional Brownian Motion 2010Basic properties of the Multivariate Fractional Brownian Motion 2012Nonparametric estimation of the local Hurst function of multifractional Gaussian processes 2023Multi-fractional Stochastic Dominance: Mathematical Foundations

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Year2005

Typearticle

Published2005-11-09

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations98

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2005.09.007

openalex_workW2018124903

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