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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|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|
|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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