Semimartingale approximation of fractional Brownian motion and its applications.

Nguyen Tien Dung

Published in: Comput. Math. Appl. (2011)

Keyphrases

fractional brownian motion
long range
non stationary
fractal dimension
long range dependence
financial markets
pairwise
random fields
higher order
decision making
prior knowledge
least squares
short term
queueing networks