Economy – Quantitative Finance – Trading and Market Microstructure
Scientist
Economy
Quantitative Finance
Trading and Market Microstructure
Scientist
An extension of the Lévy characterization to fractional Brownian motion
Fractional processes as models in stochastic finance
Initial Enlargement in a Markov chain market model
Random variables as pathwise integrals with respect to fractional Brownian motion
Spectral characterization of the quadratic variation of mixed Brownian fractional Brownian motion
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