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When is a linear combination of independent fBm’s equivalent to a single fBm? · Study

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ArticleWhen is a linear combination of independent fBm’s equivalent to a single fBm?

Harry J. van Zanten2006

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Articlebronze2006

When is a linear combination of independent fBm’s equivalent to a single fBm?

Harry J. van Zanten

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

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Complex Systems and Time Series Analysis

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2006The Malliavin Calculus and Related Topics 1995The Malliavin Calculus and Related Topics 2001Mixed Fractional Brownian Motion 1968Representation of Gaussian processes equivalent to Wiener process 2003Equivalence of Volterra processes

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2019Pricing formula for European currency option and exchange option in a generalized jump mixed fractional Brownian motion with time-varying coefficients 2014The pricing of credit default swaps under a generalized mixed fractional Brownian motion 2014Asymptotic behavior of mixed power variations and statistical estimation in mixed models

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Year2006

Typearticle

Published2006-06-24

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations37

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2006.05.013

openalex_workW2149828072

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