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STOCHASTIC INTEGRATION FOR TEMPERED FRACTIONAL BROWNIAN MOTION
Tempered fractional Brownian motion is obtained when the power law kernel in the moving average representation of a fractional Brownian motion is multiplied by an exponential tempering factor. This paper develops the theory of stochastic integrals for tempered fractional Brownian motion. Along the w...
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| 主要な著者: | , |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
2014
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| 主題: | |
| オンライン･アクセス: | https://ncbi.nlm.nih.gov/pmc/articles/PMC4032818/ https://ncbi.nlm.nih.gov/pubmed/24872598 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.spa.2014.03.002 |
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