Integral representation of generalized grey Brownian motion-Reference-Cited by-同舟云学术

Integral representation of generalized grey Brownian motion

Published:2019-07-11 Issue:4 Volume:92 Page:552-565
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Bock Wolfgang¹,Desmettre Sascha²,da Silva José Luís³

Affiliation:

1. Department of Mathematics, TU Kaiserslautern (TUK), Kaiserslautern, Germany

2. Institute for Mathematics and Scientific Computing, University of Graz, Graz, Austria

3. CIMA, University of Madeira, Funchal, Portugal

Funder

Fundação para a Ciência e a Tecnologia

Deutsche Forschungsgemeinschaft

Austrian Science Fund

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2019.1641093

Reference41 articles.

1. Non-Gaussian Infinite Dimensional Analysis

2. N. Bäuerle and S. Desmettre, Portfolio optimization in fractional and rough Heston models (2018). Available at arXiv: http://arxiv.org/abs/1809.10716.

3. Wick type SDEs driven by grey Brownian motion

4. Fractional Brownian Motion and the Markov Property

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