Sample path properties of bifractional Brownian motion
Work
Year: 2007
Type: article
Abstract: Let BH, K={BH, K(t), t∈ℝ+} be a bifractional Brownian motion in ℝd. We prove that BH, K is strongly locally non-deterministic. Applying this property and a stochastic integral representation of BH, K,... more
Source: Bernoulli
Authors Ciprian A. Tudor, Yimin Xiao
Cites: 54
Cited by: 101
Related to: 10
FWCI: 6.815
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze