Q-Fractional Brownian motion in infinite dimensions with application to fractional Black-Scholes Market
Grecksch, W, Roth, Christian, & Anh, Vo (2009) Q-Fractional Brownian motion in infinite dimensions with application to fractional Black-Scholes Market. Stochastic Analysis and Applications, 27(1), pp. 149-175.
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| ID Code: | 42980 |
|---|---|
| Item Type: | Journal Article |
| Keywords: | Clark-Haussmann-Ocone Theorem, Fractional White Noise Calculus, Girsanov's Formula, Infinite-dimensional Black-Scholes Market, Q-fractional Brownian Motion in Infinite Dimensions, Q-Fractional Hida Spaces, Quasi-Conditional Expectation |
| DOI: | 10.1080/07362990802565084 |
| ISSN: | 0736-2994 |
| Subjects: | Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) > Stochastic Analysis and Modelling (010406) |
| Divisions: | Past > QUT Faculties & Divisions > Faculty of Science and Technology |
| Deposited On: | 13 Jul 2011 23:08 |
| Last Modified: | 03 Dec 2012 12:07 |
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