On the mixed fractional Brownian motion

Mounir Zili

International Journal of Stochastic Analysis, 2006, vol. 2006, 1-9

Abstract:

The mixed fractional Brownian motion is used in mathematical finance, in the modelling of some arbitrage-free and complete markets. In this paper, we present some stochastic properties and characteristics of this process, and we study the α -differentiability of its sample paths.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnijsa:032435

DOI: 10.1155/JAMSA/2006/32435

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