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On the solution of the stochastic differential equation of exponential growth driven by fractional Brownian motion.
Guy Jumarie
Published in:
Appl. Math. Lett. (2005)
Keyphrases
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fractional brownian motion
stochastic differential equations
long range
non stationary
fractal dimension
random fields
long range dependence
mathematical model
maximum a posteriori estimation
financial markets
brownian motion
closed form
additive gaussian noise
hidden markov models
texture analysis
stock price