Representations of fractional Brownian motion using vibrating strings
, 2005 Kacha Dzhaparidze +2 more
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Adaptive Estimation for Weakly Dependent Functional Times Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose adaptive mean and autocovariance function estimators for stationary functional time series under 𝕃p−m‐approximability assumptions. These estimators are designed to adapt to the regularity of the curves and to accommodate both sparse and dense data designs.
Hassan Maissoro +2 more
wiley +1 more source
Analytical Solutions for Multi-Time Scale Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion and Their Applications. [PDF]
Entropy (Basel), 2018 Ding XL, Nieto JJ.
europepmc +1 more source
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a new formulation of the Vašičekmodel within the framework of functional data analysis. We treat observations (continuous‐time rates) within a suitably defined trading day as a single statistical object. We then consider a sequence of such objects, indexed by day.
Piotr Kokoszka +4 more
wiley +1 more source
Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics. [PDF]
Extremes (Boston)Dȩbicki K, Ji L, Novikov S.
europepmc +1 more source
STOCHASTIC INTEGRATION FOR TEMPERED FRACTIONAL BROWNIAN MOTION. [PDF]
Stoch Process Their Appl, 2014 Meerschaert MM, Sabzikar F.
europepmc +1 more source
The fundamental theorem of asset pricing with and without transaction costs
Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley +1 more source
Visual information and expert's idea in Hurst index estimation of the fractional Brownian motion using a diffusion type approximation. [PDF]
Sci Rep, 2017 Taheriyoun AR, Moghimbeygi M.
europepmc +1 more source
Estimation in models driven by fractional Brownian motion [PDF]
, 2008 Corinne Berzin, José R. León
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Unified Asymptotics for Investment Under Illiquidity: Transaction Costs and Search Frictions
Mathematical Finance, EarlyView.ABSTRACT This paper investigates the optimal investment problem in a market with two types of illiquidity: transaction costs and search frictions. We analyze a power‐utility maximization problem where an investor encounters proportional transaction costs and trades only when a Poisson process triggers trading opportunities.
Tae Ung Gang, Jin Hyuk Choi
wiley +1 more source