It Semimartingale; Fractional Brownian Motion - Articles

Is the Driving Force of a Continuous Process a Brownian Motion or Fractional Brownian Motion? (Articles)

Xinbing Kong, Bingyi Jing, Cuixia Li

Journal of Mathematical Finance Vol.3 No.4，November 15, 2013

DOI: 10.4236/jmf.2013.34048 3,115 Downloads 5,534 Views Citations
Strong Local Non-Determinism of Sub-Fractional Brownian Motion (Articles)

Nana Luan

Applied Mathematics Vol.6 No.13，November 30, 2015

DOI: 10.4236/am.2015.613194 3,180 Downloads 4,191 Views Citations
This article belongs to the Special Issue on Fractional Calculus
One Dimensional Random Motion on Segment with Reflecting Edges and Dependent Increments (Articles)

Gurami Tsitsiashvili

Journal of Applied Mathematics and Physics Vol.6 No.3，March 15, 2018

DOI: 10.4236/jamp.2018.63045 581 Downloads 1,102 Views Citations
Mixed Fractional Merton Model to Evaluate European Options with Transaction Costs (Articles)

Foad Shokrollahi

Journal of Mathematical Finance Vol.8 No.4，November 7, 2018

DOI: 10.4236/jmf.2018.84040 925 Downloads 1,801 Views Citations
Perpetual American Call Option under Fractional Brownian Motion Model (Articles)

Atsuo Suzuki

Journal of Mathematical Finance Vol.13 No.2，May 31, 2023

DOI: 10.4236/jmf.2023.132014 139 Downloads 553 Views Citations
This article belongs to the Special Issue on Pricing Strategy and Theory
Controllability of a Stochastic Neutral Functional Differential Equation Driven by a fBm (Articles)

Jingqi Han, Litan Yan

Journal of Applied Mathematics and Physics Vol.6 No.4，April 27, 2018

DOI: 10.4236/jamp.2018.64078 776 Downloads 1,685 Views Citations
From Dynamic Linear Evaluation Rule to Dynamic CAPM in a Fractional Brownian Motion Environment (Articles)

Qing Zhou, Chao Li

Journal of Mathematical Finance Vol.2 No.4，November 23, 2012

DOI: 10.4236/jmf.2012.24034 4,795 Downloads 7,922 Views Citations
Simulation of a Daily Precipitation Time Series Using a Stochastic Model with Filtering (Articles)

Chieko Gomi, Yasuhisa Kuzuha

Open Journal of Modern Hydrology Vol.3 No.4，October 23, 2013

DOI: 10.4236/ojmh.2013.34025 3,489 Downloads 6,253 Views Citations
Evaluation of Geometric Asian Power Options under Fractional Brownian Motion (Articles)

Zhijuan Mao, Zhian Liang

Journal of Mathematical Finance Vol.4 No.1，December 25, 2013

DOI: 10.4236/jmf.2014.41001 5,462 Downloads 9,118 Views Citations
This article belongs to the Special Issue on Option Pricing Research
Attenuated Model of Pricing Credit Default Swap under the Fractional Brownian Motion Environment (Articles)

Wenjing Gu, Yinglin Liu, Ruili Hao

Journal of Mathematical Finance Vol.6 No.2，March 9, 2016

DOI: 10.4236/jmf.2016.62021 2,895 Downloads 3,930 Views Citations
Fractional Stochastic Volatility Pricing of European Option Based on Self-Adaptive Differential Evolution (Articles)

Yue Hu, Hongling Dong, Le Fu, Jiayang Zhai

Journal of Mathematical Finance Vol.12 No.3，August 25, 2022

DOI: 10.4236/jmf.2022.123029 234 Downloads 1,090 Views Citations
Geometric Fractional Brownian Motion Perturbed by Fractional Ornstein-Uhlenbeck Process and Application on KLCI Option Pricing (Articles)

Mohammed Alhagyan, Masnita Misiran, Zurni Omar

Open Access Library Journal Vol.3 No.8，August 19, 2016

DOI: 10.4236/oalib.1102863 1,509 Downloads 2,767 Views Citations
Brownian Motion in Parabolic Space (Articles)

Takahisa Okino

Journal of Modern Physics Vol.3 No.3，March 28, 2012

DOI: 10.4236/jmp.2012.33034 4,792 Downloads 9,589 Views Citations
A Dynamic Cournot Model with Brownian Motion (Articles)

Hyungho Youn, Victor J. Tremblay

Theoretical Economics Letters Vol.5 No.1，February 3, 2015

DOI: 10.4236/tel.2015.51009 3,196 Downloads 4,191 Views Citations
Macroscopic anisotropic Brownian motion is related to the directional movement of a “Universe field” (Articles)

Jiapei Dai

Natural Science Vol.6 No.2，February 19, 2014

DOI: 10.4236/ns.2014.62009 4,876 Downloads 6,391 Views Citations
Dirichlet Brownian Motions (Articles)

Hafedh Faires

Open Journal of Statistics Vol.4 No.11，December 29, 2014

DOI: 10.4236/ojs.2014.411085 2,679 Downloads 3,362 Views Citations
A Mathematical Model Reveals That Both Randomness and Periodicity Are Essential for Sustainable Fluctuations in Stock Prices (Articles)

Motohisa Osaka

Applied Mathematics Vol.10 No.6，June 17, 2019

DOI: 10.4236/am.2019.106028 684 Downloads 2,747 Views Citations
A Simple Model for the Calculation of Diffusion Coefficient in a Periodic Potential (Articles)

Chunhui Zhang, Zhanwu Bai

Journal of Modern Physics Vol.12 No.2，January 21, 2021

DOI: 10.4236/jmp.2021.122009 447 Downloads 1,525 Views Citations
Asset Pricing and Simulation Analysis Based on the New Mixture Gaussian Processes (Articles)

Bo Peng

Journal of Applied Mathematics and Physics Vol.11 No.8，August 24, 2023

DOI: 10.4236/jamp.2023.118153 76 Downloads 314 Views Citations
Real Options Adoption with Poisson Price, Quantity, and Policy Uncertainty Jumps (Articles)

Chong (Andrea) Zhao, Gregory Colson, Hazel Wetzstein, Michael Wetzstein

Theoretical Economics Letters Vol.13 No.6，December 22, 2023

DOI: 10.4236/tel.2023.136087 87 Downloads 318 Views Citations

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