• Title of article

    Fractional geometric mean-reversion processes

  • Author/Authors

    Dung، نويسنده , , Nguyen Tien، نويسنده ,

  • Issue Information
    دوهفته نامه با شماره پیاپی سال 2011
  • Pages
    7
  • From page
    396
  • To page
    402
  • Abstract
    We use a method developed in Carmona et al. (2003) [2] to study the fractional geometric mean-reversion processes. Our obtained results hold for any H ∈ ( 1 4 , 1 ) .
  • Keywords
    Fractional Brownian motion , Stochastic integrals , Semimartingale , Malliavin Calculus
  • Journal title
    Journal of Mathematical Analysis and Applications
  • Serial Year
    2011
  • Journal title
    Journal of Mathematical Analysis and Applications
  • Record number

    1561882

    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=1561882