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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/19632
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dc.contributor.authorBoguslavskaya, E-
dc.contributor.authorMishura, Y-
dc.contributor.authorShevchenko, G-
dc.contributor.editorSilvestrov, S-
dc.contributor.editorMalyarenko, A-
dc.contributor.editorRancic, M-
dc.date.accessioned2019-11-19T12:55:40Z-
dc.date.available2018-12-05-
dc.date.available2019-11-19T12:55:40Z-
dc.date.issued2018-12-05-
dc.identifier14-
dc.identifier.citationBoguslavskaya, 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_14en_US
dc.identifier.isbn978-3-030-02824-4-
dc.identifier.isbn978-3-030-02825-1-
dc.identifier.urihttps://bura.brunel.ac.uk/handle/2438/19632-
dc.descriptionPart of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 271)-
dc.description.sponsorshipDaphne Jackson fellowship funded by EPSRC; Australian Research Council (project number DP150102758); ToppForsk project nr. 274410 of the Research Council of Norway with title STORM: Stochastics for Time-Space Risk Models.-
dc.language.isoenen_US
dc.publisherSpringer International Publishingen_US
dc.subjectWiener-transformable processen_US
dc.subjectfractional Brownian motionen_US
dc.subjectlong memoryen_US
dc.subjectpathwise integralen_US
dc.subjectMartingale representationen_US
dc.subjectutility maximizationen_US
dc.titleReplication of Wiener-Transformable Stochastic Processes with Application to Financial Markets with Memoryen_US
dc.typeBook chapteren_US
dc.identifier.doihttps://doi.org/10.1007/978-3-030-02825-1_14-
dc.relation.isPartOfStochastic Processes and Applications SPAS2017, Västerås and Stockholm, Sweden, October 4-6, 2017-
pubs.publication-statusPublished-
pubs.volume271-
Appears in Collections:Dept of Mathematics Research Papers

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