Stochastic Calculus for Fractional Brownian Motion I. Theory.

Tyrone E. Duncan Yaozhong Hu Bozenna Pasik-Duncan

Published in: SIAM J. Control. Optim. (2000)

Keyphrases

fractional brownian motion
long range
stochastic differential equations
non stationary
fractal dimension
financial markets
long range dependence
random fields
computer algebra
mathematical model
semi supervised
feature extraction