Multi-dimensional fractional Brownian motion in the G-setting
Fuente:
arXiv
Guardado en:
| Autores principales: | , , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2023
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866916500003094528 |
|---|---|
| author | Biagini, Francesca Mazzon, Andrea Oberpriller, Katharina |
| author_facet | Biagini, Francesca Mazzon, Andrea Oberpriller, Katharina |
| contents | In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index $H \in (0, 1)$ under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about stochastic calculus with respect to a fractional G-Brownian motion for a Hurst index $H >\frac{1}{2}$ . |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2312_12139 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Multi-dimensional fractional Brownian motion in the G-setting Biagini, Francesca Mazzon, Andrea Oberpriller, Katharina Probability Mathematical Finance 60G65, 60G22, 60H05 In this paper we introduce a definition of a multi-dimensional fractional Brownian motion of Hurst index $H \in (0, 1)$ under volatility uncertainty (in short G-fBm). We study the properties of such a process and provide first results about stochastic calculus with respect to a fractional G-Brownian motion for a Hurst index $H >\frac{1}{2}$ . |
| title | Multi-dimensional fractional Brownian motion in the G-setting |
| topic | Probability Mathematical Finance 60G65, 60G22, 60H05 |
| url | https://arxiv.org/abs/2312.12139 |