Optimization of small deviation for mixed fractional Brownian motion with trend-Reference-Cited by-同舟云学术

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Optimization of small deviation for mixed fractional Brownian motion with trend

Published:2018-06-11 Issue:7 Volume:90 Page:1087-1110
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

MacKay Anne¹,Melnikov Alexander²,Mishura Yuliya³

Affiliation:

1. Department of Mathematics, Université du Québec à Montréal, Montreal, Canada

2. Department of Mathematics, University of Alberta, Edmonton, Canada

3. Department of Probability, Statistics and Actuarial Mathematics, Taras Shevschenko National University of Kyiv, Kyiv, Ukraine

Funder

Montreal Institute of Structure Finance and Derivatives

Natural Science and Engineering Research Council

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2018.1478835

Reference22 articles.

1. Calculus of variations with fractional derivatives and fractional integrals

2. Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics

3. Stochastic Calculus for Fractional Brownian Motion and Applications

4. Mixed Gaussian processes: A filtering approach

5. Mixed Fractional Brownian Motion

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Approximate solution of the integral equations involving kernel with additional singularity;Stochastic Models;2021-07-27

2. Mixed fractional Brownian motion: A spectral take;Journal of Mathematical Analysis and Applications;2020-02

3. Small deviations for mixed fractional Brownian motion with trend and with Hurst index H>1/2;Stochastics;2019-08-12

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