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http://bura.brunel.ac.uk/handle/2438/19632| Title: | Replication of Wiener-Transformable Stochastic Processes with Application to Financial Markets with Memory |
| Authors: | Boguslavskaya, E Mishura, Y Shevchenko, G |
| Keywords: | Wiener-transformable process;fractional Brownian motion;long memory;pathwise integral;Martingale representation;utility maximization |
| Issue Date: | 5-Dec-2018 |
| Publisher: | Springer International Publishing |
| Citation: | Boguslavskaya, E., Mishura, Y. and Shevchenko, G. (2018) 'Replication of Wiener-Transformable Stochastic Processes with Application to Financial Markets with Memory', in: Silvestrov, S., Malyarenko, A. and Rančić, M. (eds.) Stochastic Processes and Applications. SPAS 2017. Springer Proceedings in Mathematics & Statistics, vol 271, pp. 335 - 361. Cham, Switzerland, Springer. https://doi.org/10.1007/978-3-030-02825-1_14 |
| Description: | Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 271) |
| URI: | https://bura.brunel.ac.uk/handle/2438/19632 |
| DOI: | https://doi.org/10.1007/978-3-030-02825-1_14 |
| ISBN: | 978-3-030-02824-4 978-3-030-02825-1 |
| Other Identifiers: | 14 |
| Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Fulltext.pdf | 211.3 kB | Adobe PDF | View/Open |
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