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Fractional geometric mean-reversion processes

descriptionPublicationkeyboard_double_arrow_right Article 01 Aug 2011 English Publisher:Elsevier BVJournal:Journal of Mathematical Analysis and Applications, volume 380, pages 396-402 (issn: 0022-247X, Copyright policy )
Authors: Dung, Nguyen Tien;

doi: 10.1016/j.jmaa.2011.03.016

Fractional geometric mean-reversion processes

Abstract

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Keywords

Semimartingale, Stochastic calculus of variations and the Malliavin calculus, Stochastic integrals, Applied Mathematics, Malliavin calculus, fractional Brownian motion, Fractional processes, including fractional Brownian motion, semimartingale, Fractional Brownian motion, stochastic integrals, Analysis

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    popularity
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    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
14
Average
Top 10%
Top 10%
hybrid