Weighted local time for fractional brownian motion and applications to finance

Stochastic Analysis and Applications

Volumn 23, Issue 1, 2005, Pages 15-30

  Hu, Yaozhong ^a   Øksendal, Bernt ^b   Salopek, Donna Mary ^c  

^a UNIVERSITY OF KANSAS   (United States)

^b UNIVERSITY OF OSLO   (Norway)

^c UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Asymptotic behavior; Chaos expansion; Fractional Brownian motions; Local time

Indexed keywords

EID: 15244355622     PISSN: 07362994     EISSN: None     Source Type: Journal    
DOI: 10.1081/SAP-200044412     Document Type: Article

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