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ArticleFractional stochastic differential equations with applications to finance

Unknown author2012

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Articlebronze2012

Fractional stochastic differential equations with applications to finance

Unknown author

104 citations·0/0 files stored·Journal of Mathematical Analysis and Applications

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Stochastic processes and financial applications Fractional Differential Equations Solutions Fuzzy Systems and Optimization

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 2006The Malliavin Calculus and Related Topics 2003Theory and applications of long-range dependence 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes 1998Long memory in continuous‐time stochastic volatility models 1999Stochastic Analysis of the Fractional Brownian Motion 2001Stochastic Calculus with Respect to Gaussian Processes 2002Differential equations driven by fractional Brownian motion

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Year2012

Typearticle

Published2012-08-04

VenueJournal of Mathematical Analysis and Applications

ISSN-L0022-247X

Languageen

Citations104

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jmaa.2012.07.062

openalex_workW2093085986

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