A new multifractional process with random exponent
Antoine Ayache, Céline Esser and Julien Hamonier
| Year of publication: |
2018
|
|---|---|
| Authors: | Ayache, Antoine ; Esser, Céline ; Hamonier, Julien |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 7.2018, 1/2, p. 5-29
|
| Subject: | Fractional Brownian Motion | varying Hurst parameter | Haar basis | Hölder regularity | Itô integral | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3233/RDA-180135 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945625