Fractional Brownian Motion and Application in Mathematical Finance, M.Sc. Thesis Sharif University of Technology ; Zohuri Zangeneh, Bijan (Supervisor) ; Farhadi, Hamid Reza (Co-Advisor)
Abstract
Farctional Brownian motion (fBm) is a Gaussian Stochastic process B={B_t ∶t ≥0} With zero mean and Covariance function given by RH (t,s)=1/2 (t^2H+ S^2H-├|t-├ s┤|┤ 〖^2H〗) Where 0
Cataloging briefFractional Brownian Motion and Application in Mathematical Finance, M.Sc. Thesis Sharif University of Technology ; Zohuri Zangeneh, Bijan (Supervisor) ; Farhadi, Hamid Reza (Co-Advisor)
Abstract
Farctional Brownian motion (fBm) is a Gaussian Stochastic process B={B_t ∶t ≥0} With zero mean and Covariance function given by RH (t,s)=1/2 (t^2H+ S^2H-├|t-├ s┤|┤ 〖^2H〗) Where 0
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