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Some sample path properties of multifractional Brownian motion · Study

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ArticleSome sample path properties of multifractional Brownian motion

Paul Balança2015

OA

Articlebronze2015

Some sample path properties of multifractional Brownian motion

16 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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References

2003Theory and applications of long-range dependence 2002The covariance structure of multifractional Brownian motion, with application to long range dependence 2005How rich is the class of multifractional Brownian motions?2006From $N$ Parameter Fractional Brownian Motions to $N$ Parameter Multifractional Brownian Motions 2010Representation Formulae for the Fractional Brownian Motion 2006On the local time of multifractional Brownian motion 2008Stochastic 2-microlocal analysis 2012Continuous Gaussian Multifractional Processes with Random Pointwise Hölder Regularity

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Year2015

Typearticle

Published2015-05-29

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations16

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2015.05.008

openalex_workW647808824

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