Title of article :
Fractional geometric mean-reversion processes
Author/Authors :
Dung، نويسنده , , Nguyen Tien، نويسنده ,
Issue Information :
دوهفته نامه با شماره پیاپی سال 2011
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
Journal title :
Journal of Mathematical Analysis and Applications
