Fractional And Multifractional Models In Finance
Year:
2011Published in:
Taras Shevchenko National University of KyivSetting (Ω, F,(Ft), P) filtered probability space. W=(Wt, t≥ 0) Ft-Wiener process. BH=(BH t, t≥ 0) Ft-adapted fBm with H> 1/2.
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