Author:
Coffie Emmanuel,Mao Xuerong,Proske Frank
Abstract
AbstractFractional Brownian motion with Hurst parameter $$H<\frac{1}{2}$$
H
<
1
2
is used widely, for instance, to describe ‘rough’ volatility data in finance. In this paper, we examine a generalised Ait-Sahalia-type model driven by a fractional Brownian motion with $$H<\frac{1}{2}$$
H
<
1
2
and establish theoretical properties such as an existence-and-uniqueness theorem, regularity in the sense of Malliavin differentiability and higher moments of the strong solutions.
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
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