On the mixed fractional Brownian motion

Journal of Applied Mathematics and Stochastic Analysis

Volumn 2006, Issue , 2006, Pages

  Zili, Mounir ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33749530523     PISSN: 10489533     EISSN: 16872177     Source Type: Journal    
DOI: 10.1155/JAMSA/2006/32435     Document Type: Article

References (11)

1. B. B. Mandelbrot J. W. Van Ness Fractional Brownian motions, fractional noises and applications SIAM Review 10 1968 4 422-437
2. P. Cheridito Mixed fractional Brownian motion Bernoulli 7 2001 6 913-934
3. P. A. Samuelson Rational theory of warrant pricing Industrial Management Review 6 1965 2 13-31
4. N. J. Cutland P. E. Kopp W. Willinger Stock price returns and the Joseph effect: A fractional version of the Black-Scholes model Seminar on Stochastic Analysis, Random Fields and Applications (Ascona, 1993) Progress in Probability 36 327-351 Birkhäuser Basel 1995
5. B. Øksendal Stochastic Differential Equations. An Introduction with Applications Universitext 6th Springer Berlin 2003 xxiv+360
6. K. Kolwankar A. D. Gangal Local fractional derivatives and fractal functions of several variables Proceedings of International Conference on Fractals in Engineering Archanon 1997
7. F. Ben Adda J. Cresson About non-differentiable functions Journal of Mathematical Analysis and Applications 263 2001 2 721-737
8. D. Revuz M. Yor Continuous Martingales and Brownian Motion Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences] 293 Springer Berlin 1991 x+533
9. G. Cherbit Dimension locale, quantité de mouvement et trajectoire Fractals, dimension non entière et applications Masson Paris 1967 340-352
10. S. G. Samko A. A. Kilbas O. I. Marichev Fractional Integrals and Derivatives. Theory and Applications Gordon and Breach Science Yverdon 1993 xxxvi+976
11. C. El-Nouty The fractional mixed fractional Brownian motion Statistics & Probability Letters 65 2003 2 111-120