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Self‐Similar Processes

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References

1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
1981Fractional Differencing2,720 cited
1969Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances542 cited
1978Preservation of the rescaled adjusted range: 1. A reassessment of the Hurst Phenomenon341 cited
1969Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances237 cited
1981Multiple Wiener-Itô Integrals171 cited

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2011Continuous time Black–Scholes equation with transaction costs in subdiffusive fractional Brownian motion regime37 cited
2010Drift parameter estimation in fractional diffusions driven by perturbed random walks35 cited
2008Equity warrants pricing model under Fractional Brownian motion and an empirical study

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34 cited

2008Multiclass G/M/1 queueing system with self-similar input and non-preemptive priority23 cited

2005Risk Model of Good and Bad Periods0 cited