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Some sample path properties of multifractional Brownian motion
8 references·0 citing·30 second hop
Some sample path properties of multifractional Brownian motion (2015)Some sample path properties of multifract…Continuous Gaussian Multifractional Processes with Random Pointwise Hölder Regularity (2012)Continuous Gaussian Multifrac…Representation Formulae for the Fractional Brownian Motion (2010)Representation Formulae for t…Stochastic 2-microlocal analysis (2008)Stochastic 2-microlocal analy…On the local time of multifractional Brownian motion (2006)On the local time of multifra…From $N$ Parameter Fractional Brownian Motions to $N$ Parameter Multifractional Brownian Motions (2006)From $N$ Parameter Fractional…How rich is the class of multifractional Brownian motions? (2005)How rich is the class of mult…Theory and applications of long-range dependence (2003)Theory and applications of lo…The covariance structure of multifractional Brownian motion, with application to long range dependence (2002)The covariance structure of m…The Generalized Multifractional Brownian Motion (2000)On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion (2004)A Set-indexed Fractional Brownian Motion (2006)Brownian Motion and Stochastic Calculus (2007)A Ferguson–Klass–LePage series representation of multistable multifractional motions and related processes (2012)Integration questions related to fractional Brownian motion (2000)Cross-correlation of long-range correlated series (2009)Integral representations and properties of operator fractional Brownian motions (2011)MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (2013)Selfsimilar Processes (2009)Multifractional processes in finance (2014)Fractal analysis of market (in)efficiency during the COVID-19 (2020)PATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION (2005)White noise-based stochastic calculus with respect to multifractional Brownian motion (2013)On the spectrum of fractional Brownian motions (1989)Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Processes (1997)Local likelihood estimation for nonstationary random fields (2010)Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (2011)Fractional Brownian Motions, Fractional Noises and Applications (1968)Stochastic Analysis of the Fractional Brownian Motion (1999)Fractional Ornstein-Uhlenbeck processes (2003)Distribution dependent SDEs driven by additive fractional Brownian motion (2022)Deep Curve-Dependent PDEs for Affine Rough Volatility (2023)Functional central limit theorems for rough volatility (2024)On the local time of sub-fractional Brownian motion (2010)Stochastic Calculus with respect to Gaussian processes (2014)Nonstationarities in Stock Returns (2005)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Bootstrap for Empirical Multifractal Analysis (2007)
this work references cited by second hop

References

  • 2003Theory and applications of long-range dependence989 cited
  • 2002The covariance structure of multifractional Brownian motion, with application to long range dependence111 cited
  • 2005How rich is the class of multifractional Brownian motions?98 cited
  • 2006From $N$ Parameter Fractional Brownian Motions to $N$ Parameter Multifractional Brownian Motions77 cited
  • 2010Representation Formulae for the Fractional Brownian Motion50 cited
  • 2006On the local time of multifractional Brownian motion33 cited
  • 2008Stochastic 2-microlocal analysis25 cited
  • 2012Continuous Gaussian Multifractional Processes with Random Pointwise Hölder Regularity20 cited

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