Hae
Aineistot 1-2 / 2
Conditional-mean hedging under transaction costs in Gaussian models
(World Scientific Publishing Company, 2018-04-02)
- article
We consider so-called regular invertible Gaussian Volterra processes and derive a formula for their prediction laws. Examples of such processes include the fractional Brownian motions and the mixed fractional Brownian ...
Transfer Principle for nth order Fractional Brownian Motion with Applications to Prediction and Equivalence in Law
(2018)
- article
The n-th order fractional Brownian motion was introduced by Perrin et al. [13]. It is the (up to a multiplicative constant) unique self-similar Gaussian process with the Hurst index H∈(n-1,n), having n-th order stationary ...